My preferred way to install ocaml is via GODI, a complete multi-platform package system exclusively for OCaml. With it, you can install, and later update, the latest OCaml distribution and some 50-odd third-party libraries, applications and modules. It's advantages are that it tends to have the absolute latest versions of everything, that installs are totally automated, and that it does full dependency analysis across all the third-party modules. GODI runs on Linux, Solaris, FreeBSD, NetBSD, Cygwin, HP-UX, MacOS X.
However, if you're just getting started with OCaml, you won't be needing all those exotic modules, and you may find that your operating system's native OCaml installation is easier to set up initially.
Installing OCaml on a FreeBSD box is very simple, since it's in the ports. You should install the following:
There are many other useful third-party OCaml packages in the ports.
Installing OCaml on a NetBSD box is very simple, since it's in the packages (though there are fewer additions than in the FreeBSD ports). You should install lang/ocaml and Tuareg-Mode.
Up-to-date Linux RPMs for Intel versions of RedHat (7.3, 8, and 9) and Mandrake 8.0 are available from INRIA, and some Linux distributions (e.g. Debian, RedHat, Mandrake) come with a reasonably recent version of OCaml already installed. You will also want Tuareg-Mode.
OCaml can be installed via apt-get or Fink. There is also a GUI top-level environment for Mac OS called CocOCaml.
You have a choice of two binary installations for Microsoft Windows (95, 98, NT, ME, 2000, XP): one built using the Microsoft toolchain and one using MinGW; you can also compile it yourself with Cygwin. See the download page at INRIA for details.
If you are an Emacs or Xemacs user, I highly recommend you install Albert Cohen's stupendous tuareg-mode so that you have the best possible development environment.