I finally managed to compile VICE in Ubuntu. The missing package was apparently libxaw7-dev. Once that was in place, it worked quite nicely. I might spend the rest of the day playing Jumpman now. If you want details (I know you do :) ), the complete howto is here.
The only reason to compile from scratch is to avoid having to hunt down the ROMs and put them into place (Debian distributes VICE without them, for copyright reasons). If you want to take the time to do that, you could. But to be honest, once libxaw7-dev is in place, compiling is almost quicker — especially if you have a fast machine.