For me, it depends.
Most of the time, I use the CPAN shell. Especially for a module that I'll only want on my machine for a limited amount of time. I've got my environment all set up with a ~/.cpan/CPAN/MyConfig.pm to build and install modules in a ~/.perl subdirectory, and corresponding environment variables so that my one-off scripts use it just fine. I don't even need to be root. Cool.
Sometimes the module I want is already packaged in the Debian distribution. So, I apt-get it instead. Even cooler.
Sometimes the module I want isn't packaged by Debian, but I need it enough that I want to install it properly so that all users of my system will have access to it. For that, I make a .deb out of it myself with dh-make-perl. Very cool.
What it all comes down to is, I've got way too much free-time.
-><- -><- -><- -><- -><- All things are Perfect To every last Flaw And bound in accord With Eris's Law - HBT; The Book of Advice, 1:7