With Ubuntu 12.04, that's no longer the case. Gnome Shell now resides in Ubuntu's universe repository which means it's just a few simple clicks away.
If you haven't already, enable the universe component in Software Sources. Then, it's just a simple update and install away. If you use Ubuntu Software Center, the package list should automatically get updated. You might have to wait a while.
Once it's done, search for Gnome Shell and install from there.
If Software Center doesn't update the package list for some reason, then doing the install from terminal isn't that hard either.
~$ sudo apt-get update
~$ sudo apt-get install gnome-shell
Update and install may take a while depending on your connection speed. Logout, click the Ubuntu icon beside your user name and select Gnome as your desktop session, then login from there. Ubuntu will default to Gnome Shell on subsequent boots.