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A few days ago I installed XeTeX as part of TeX Live 2008. I installed on Mac OS X but would not expect big differences on other UNIX systems. Free download helper for mac. It was totally pain-free. Downloaded the TeX Live installer - a rather classic looking command line downloader/installer thingy. Created a writable install target directory (/usr/local/TeX/ or something like that, don't have the machine here to look).
Fired up the installer telling it where to install. Off it went downloading about 1800 files then configuring and doing all sorts of things. Added /usr/local/TeX/bin to my $PATH. I am very pleased. Please take the above paths with a grain of salt. I type them here from memory. The gist is: the input you give the installer is very straightforward.
A late reply - hope it helps someone. Cheers, Joerg.