NEW ANSWER
Previously I was pointing to TortoiseHG PPA, which also contained Mercurial. For now (year 2015) the more recent version of Mercurial is in another PPA, specific for Mercurial only.
Important note: this version is incompatible with TortoiseHG, and Tortoise will be REMOVED, if you install the more recent Mercurial!
If you don't care of Tortoise and just want more recent Mercurial package, use next command to install:
sudo add-apt-repository -y ppa:mercurial-ppa/releases
sudo apt-get update
sudo apt-get install -y mercurial
However, this won't give you the absolutely latest version either. To enjoy the latest version, you may want to install it via PIP:
sudo apt-get install -y python-pip python-dev
sudo pip install mercurial --upgrade
This would give you the very latest version (3.6.2 vs 3.3.2 from the PPA). Seems this one is also not compatible with TortoiseHG from the repos.
OLD ANSWER
Though available from default repos, the version there is outdated. At the time of writing: 2.2.2 vs 2.5.2. So I would recommend to use the PPA:
sudo add-apt-repository -y ppa:tortoisehg-ppa/releases
sudo apt-get update
sudo apt-get install mercurial tortoisehg
TortoiseHG is not required, but is recommended.
apt-get
or whatever is the native package manager of the current platform unless you can't or have a very good reason to do otherwise. – Resin