rpm -ihv http://download.fedora.redhat.com/pub/epel/5/i386/epel-release-5-3.noarch.rpm
rpm -ihv http://centos.alt.ru/repository/centos/5/i386/centalt-release-5-3.noarch.rpm
yum install nginx-stable
Based on extensive info from here.
Another good stab on that done here. Some extra info and preset service wrapper scripts included. RPM-based install flawlessly worked as a service. Maybe you'll need those if you're building from source.
The most useful for me was spell (I usually forget how to update service levels).
chkconfig --level 345 nginx on
Documentation is at wiki.nginx.org and sysoev.ru/nginx.
In general nginx seems (for me) to be quite nice and configurable component - proving that hardcore, low level, careful programming is still a viable and promising alternative.