Downloading and unpacking the kernel source
The correct way to download the kernel source-code depends on how your specific distribution manages it. All distributions will have the kernel source-code as an installable package in their respective manager. For Ubuntu, it's called linux-image, Fedora Core sticks to linux-<version.number>, whereas Gentoo calls it gentoo-sources-<version>. It's a matter of searching for the specific package in your distros package manager and selecting it for installation.
The source code for the kernel will be stored in the folder /usr/src/linux/name_of_kernel_package-<version>, and the folder /usr/src/linux is generally symlinked to the latest version of the source code. So navigating to /usr/src/linux will put you in the folder of the latest kernel source-code.
Let's say that you're using Gentoo... The correct way to download and install the source-code package is to simply type "emerge gentoo-sources" in the command-line. The package manager will download and unpack the latest stable/unstable version of kernel sources depending on your preferences.
In Ubuntu, the correct way is to type the following commands:
sudo apt-get build-dep linux-image-$(uname -r)
sudo apt-get source linux-image-$(uname -r)
This will install and unpack the source-code of the kernel version that you're currently running on your system.
If you're looking to play around with a plain-vanilla kernel minus any patches supplied by the distro maintainers, you can get the latest kernel packages from kernel.org. The correct way to download and unpack it is by using the following commands:
sudo wget http://kernel.org/pub/linux/kernel/v2.6/linux-126.96.36.199.tar.bz2
sudo tar -xvjf linux-188.8.131.52.tar.bz2
sudo ln -sf /usr/src/linux/linux-184.108.40.206 /usr/src/linux
Whatever your distro, you should now have the kernel source-code stored in a folder inside /usr/src/linux, and ready for customization and compilation.