Conky is available in the Ubuntu repositories, so you can install it through your preferred package manager.
Note that the latest Conky release will only be officially available for the Ubuntu development release.
You can find backport (or testing) versions for several Ubuntu releases from this PPA:
https://launchpad.net/~norsetto/+archive/ppa
This is the personal archive of the Ubuntu Conky' s packager so you may be assured that the quality of the package is as good as that of the official release.