OpenVPN is a popular open source cross platform VPN protocol. Of all the platforms Linux probably has the most possible methods of installing and running an OpenVPN client or server. There are a great many flavors of Linux out there (e.g. Mint, Ubuntu, Debian, Fedora, CentOS, Arch) just to name a few of the more popular ones. One of the biggest differences between many of the Linux distributions is how they handle package management, but nearly all distros are capable of installing directly from source code.
There are advantages to rolling your own and compiling directly from the official source code. One of the biggest advantages is that you can ensure you are using a binary that has not been compromised with any back doors. However, most distros have safeguards in place to help ensure that their official packages can be trusted. However, nothing is fool proof and when dealing with a security focused application such as a VPN client or an encryption client, some people prefer to compile their own application from the official source code.