You can install gfceux with setup.py:

$ sudo python setup.py install --prefix=/usr/local

TODO: 12/5/2008 - Work out build system with new modules.

You can change the prefix to whatever you like.

Requirements:
Python (tested with 2.5); (Ubuntu package name:  python) 
  NOTE: gfceux is not yet compatible with python 3.x
PyGTK and GTK;  (Ubuntu package name: (python-gtk2 libgtk2.0-0)
Fceux 2.x

Recommended dependencies
Pygame (Ubuntu package name: python-pygame) - This will allow graphical conifguraion of input

NOTE: fceu 1.x is no longer supported in the gfceu 2.x series.  
      If you still want/need a front-end for gfceu use gfceu 0.x