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Kernels shipped with Linux distributions are, for stability reasons, old. Security fixes from current "stable" kernels are backported into the distro kernels. This means that if the stock kernel with your Linux distribution is working fine with the machine's hardware and workload then you should stick to the distro's kernel (as it will receive automated, hassle-free updates from the distro's repositories).
On the other hand, if you need support for newer hardware, file systems, or specific bug fixes not available in the older kernels, you might need to compile a custom kernel manually.
Shown here for kernel version "2.6.35-zen2":
$ make $ sudo make modules_install $ sudo cp System.map /boot/System.map-2.6.35-zen2 $ sudo cp .config /boot/config-2.6.35-zen2 $ sudo cp arch/x86_64/boot/bzImage /boot/vmlinuz-2.6.35-zen2 $ sudo mkinitramfs -o /boot/initrd.img-2.6.35-zen2 2.6.35-zen2 $ sudo update-grub2