Pre-compiled binaries for GNU Radio

For most platforms, there are binaries available which saves you having to compile GNU Radio yourself.
Make sure you're using a current version!

Linux standard distro packages

Some Linux distributions (Debian, Ubuntu and Fedora) have binaries available through their packaging system.
If possible, this is the easiest way to install binaries, e.g. through

$ sudo apt-get install gnuradio

or

$ sudo yum install gnuradio

If you're doing this, make sure you're using a fairly recent version. You should be at least on the latest minor, e.g. if the most current version is 3.7.2, installing a 3.7.0 is OK, but 3.6.5 is too old. In that case, find another source for your binaries.

Binaries from Ettus Research (Linux / Windows)

If you need more current packages than your distribution has available, Ettus Research has packaged GnuRadio and UHD binaries for Windows, Ubuntu, and Fedora ready for installation.

Download UHD
Download GnuRadio

Example Ubuntu(11.04) Installation
Install the required install dependencies.
Download UHD/GnuRadio Packages
Users can install these packages using Ubuntu Software Center or 'dpkg' or 'synaptic'
After installation set the PYTHONPATH and LD_LIBRARY_PATH environment variables
Default installation uses following paths /usr/bin and /usr/lib/python2.7/dist-packages
Export the paths as

$ export PYTHONPATH=$PYTHONPATH:/usr/lib/python2.7/dist-packages
$ export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:/usr/bin

Note:: For above mentioned GnuRadio binary, UHD is a must dependency so, install UHD binary before installing GnuRadio

Mac OS X

There are no pre-built binaries of GNU Radio or UHD for Mac OS X at this time (early 2014). That said, installing them is quite simple; refer to the Mac OS X install guide.

GQRX PPA

Alexandru Csete has a PPA for those running Ubuntu 12.04 on a Beaglebone, Parallella or other ARM device with FPU:

https://launchpad.net/~gqrx