Here's a list of things to check before you get started.
Disk space needed: from about 100Mb for a basic GHC build, up to probably 500Mb for a GHC build with everything included (libraries built several different ways, etc.).
Use an appropriate machine, compilers, and things. SPARC boxes, PCs running Linux or FreeBSD, and Alphas running OSF/1 are all fully supported. Win32 and HP boxes are in pretty good shape. PCs running Solaris, DEC Alphas running Linux or some BSD variant, MIPS and AIX boxes will need some minimal porting effort before they work (as of 4.06). Section 5 gives the full run-down on ports or lack thereof.
Be sure that the ``pre-supposed'' utilities are installed. Section 6 elaborates.
If you have any problem when building or installing the Glasgow tools, please check the ``known pitfalls'' (Section 10). Also check the FAQ for the version you're building, which should be available from the relevant download page on the GHC web site.
If you feel there is still some shortcoming in our procedure or instructions, please report it.
For GHC, please see the bug-reporting section of the GHC Users' Guide (separate document), to maximise the usefulness of your report.
If in doubt, please send a message to <glasgow-haskell-bugs@haskell.org>.