Compiling the Kernel is in a way a rite of initiation for advanced Linux users. Compiling the kernel has not been necessary in all these years I've used Linux but I've done it a few times just to see if I can compile and run my own kernel or not.
By the way, I succeeded :-)
If you want to try compiling your own kernel, I suggest you to read Greg Kroah-Hartman's Linux Kernel in a Nutshell. The book is published by O'Reilly but it is also available as a free download from the author's web page. The book covers everything you need to know in order to configure, compile and run your own very special kernel.
Download the kernel source and try your own kernel! You might not get any more performance out of your box but using the own kernel certainly adds to the geek factor of using Linux.