What Piotr Zurek said is basically what i did to get F# and mono to work on Ubuntu 9.04, with the following comments:
- Rember to install WinForm support with Mono. Otherwise you can't start fsi.exe.
- ./install-mono.sh should be run with root privileges (sudo ./install-mono.sh).
- Gnome Terminal dosn't play well with fsi.exe. Start a normal xterm and run fsi.exe whithin that.