That's got a few connotations out here, not all of 'em legal....
In the Debian tradition, there's a bit of a difference from RedHat as far as package selection goes. There's also a pretty bloody complete set of packages (8000+ in unstable) so going outside the distro is fairly rare. When RPMs are available but not Debs, the alien package allows integration of the RPM into the packaging system. Debian's packaging system does a good job of documenting system state.
For kernels, the make-kpkg package provides support for including your roll-your-own kernels into the packaging system. I tend to compile my own kernels, but do so through make-kpkg. Debian also keeps the corresponding configuration file in /boot, making identification of kernel modules that much easier.
In general, I somewhat agree with Peter's PoV. It's possible to tweak the hell out of a box for extreme performance, cutting edge features, etc. But the admin costs of doing so will tend to exceed the hardware costs of an appropriate solution in all but the most extreme instances. Where there's truely no other eway, this may be an accceptable practice. In general, I feel much more comfortable sticking to methods and options supported within the standard configuration parameters for your system.
I had a coworker at a prior poisiton who'd come from a public web hosting site. Being used to configuring apache for servers that would run hundreds of hits per minute, he'd compiled his own apache under /usr/local/bin and created init scripts to bring up the server. This for a box that might encounter 300 hits in a day, on a articularly busy day.
Needless to say, after he left, the configs were something of a mystery, and after a power outage, the box failed to bring up the webserver appropriately, leaving some critical systems ofline. We'd have been far better off with a default Debian apache installation.
I do differ with Peter over his choice of distro, naturally ;-) I find that Debian's configurations are both more sane (and tested) than RH's, and that the packaging system is sufficiently complete that going outside of it is very rare.