@Tom:
An example of a stable and successful Linux distribution would be Gentoo, where all binaries are compiled on the server before install (no binaries exist in the distribution). It has been used by large production servers such as isohunt.com.
Building binaries on the server is a good idea as it makes sure your binaries are optimized at some level for the host platform, provided the installer provides the correct flags to the compiler.
Having GCC on a server hurt no one IMO :)
@Lars:
You should-
Keep a logging file, with additions to steps needed to rectify errors and move forward.
At the start of the development process, handle exceptions via messages to stdout, and provide for handlers as you test the script.
On the whole, try to ease the work for your user, who really may be unaware of the micromanagement your script performs (copying files, installing daemons, creating filesystems, setting perminssions, blah) and would have only your installer to complete the process successfully.
Testing the script on several systems will make sure it will work