UPDATE:
There is a much easier way of installing player/stage in Ubuntu 9.10 as pointed out by Arkapravo in the comments, however this is the 2.0.4-3.3ubuntu3 where as of 21/May/2010 the latest version is 3.0.1 if this causes any issues with your needs.
sudo apt-get install robot-player stage
also check out: http://icrobotics.co.uk/wiki/index.php?title=Player/stage
END UPDATE

I was able to install Player but not Stage using the usual install method which can be seen below how I did it:
You will need to have cmake and build-essentials installed:
sudo apt-get install cmake build-essential
How To Install Player:
Player provides a network interface to a variety of robot and sensor hardware. Player’s client/server model allows robot control programs to be written in any programming language and to run on any computer with a network connection to the robot. Player supports multiple concurrent client connections to devices, creating new possibilities for distributed and collaborative sensing and control.
Download the latest tar (I used player-3.0.0.tar.gz in this guide, if those numbers come up just change them with the version you are using)

http://sourceforge.net/projects/playerstage/files/

Extract
tar zxvf player-3.0.0.tar.gz
cd player-3.0.0
Make a folder to store the build files
mkdir build
cd build
Configure using
cmake ../
Now make and install
make
sudo make install
How To Install Stage:
Stage simulates a population of mobile robots moving in and sensing a two-dimensional bitmapped environment. Various sensor models are provided, including sonar, scanning laser rangefinder, pan-tilt-zoom camera with color blob detection and odometry.
Install some needed libraries:
sudo apt-get install libfltk1.1 pkg-config libtool
You will also need to install openGl:
sudo apt-get install libglu1-mesa-dev freeglut3-dev mesa-common-dev
You will need to download and install fltk-1.1.x and do the usual:
(I used fltk-1.1.10rc3 found here)
tar zxvf fltk-1.1.10rc3-source.tar.gz
cd fltk-1.1.10rc3/
./configure –enable-gl
make
sudo make install
Download and extract Stage (as you can see I used 3.2.2)

http://sourceforge.net/projects/playerstage/files/

tar zxvf Stage-3.2.2-Source.tar.gz
cd Stage-3.2.2
Make somewhere to store the build files
mkdir build
cd build
Configure:
cmake ../
Make and install:
make
sudo make install
Currently this will output the following error:
collect2: ld returned 1 exit status
make[2]: *** [libstage/stage] Error 1
make[1]: *** [libstage/CMakeFiles/stagebinary.dir/all] Error 2
make: *** [all] Error 2
I will make an update on this post when I find out how to fix this, comment if you know how!