As with Mac OS X, you have the option of installing a pre-built binary application for your version of Linux, or downloading the source code and compiling Sage yourself. The same trade-offs apply to Linux. Keep in mind that the Sage team only distributes pre-build binaries for a few popular distributions. If you are using a different distribution, you'll have to compile Sage from source anyway. The following instructions will assume you are downloading a binary application. I will use Ubuntu as an example, but other versions of Linux should be very similar.
Note
Most modern Linux distributions use a package manager to install and remove software. Sage is not available as an officially supported package for any Linux distribution at this time. "Unofficial" packages have been created for Debian, Mandriva, Ubuntu, and possibly others, but they are unlikely to be up to date and may not work properly. An effort to integrate Sage with Gentoo Linux...