If you don't already have easy_install available you'll want to download and run the ez_setup.py script:
$ curl -O http://peak.telecommunity.com/dist/ez_setup.py $ sudo python ez_setup.py -U setuptools
To install or upgrade to the latest released version of Gunicorn:
$ sudo easy_install -U gunicorn
You can install Gunicorn from source as simply as you would install any other Python package. Gunicorn uses setuptools which will automatically fetch all dependencies (including setuptools itself).
You can download a tarball of the latest sources from GitHub Downloads or fetch them with git:
$ git clone git://github.com/benoitc/gunicorn.git
$ python setup.py install
If you've cloned the git repository, its highly recommended that you use the develop command which will allow you to use Gunicorn from the source directory. This will allow you to keep up to date with development on GitHub as well as make changes to the source:
$ python setup.py develop