I built with this script: 

#!/bin/bash

set -x

#for i in depend bzImage modules modules_install install
#for i in distclean mrproper xconfig depend bzImage modules modules_install install
for i in distclean mrproper xconfig depend bzImage modules modules_install install
do
        if [ "$i" = xconfig ]
        then
                #cp configs/kernel-2.4.21-i686-smp.config .config
                cp ../esmft2.config .config
        fi
        #make -j5 $i ||
        make $i ||
                {
                echo make target $i failed
                exit 1
                }
        if [ "$i" = xconfig ]
        then
                #cp configs/kernel-2.4.21-i686-smp.config .config
                cp .config ../esmft2.config
        fi
done

The -j5 above says to build two files in parallel, because I did most of my builds on a four-cpu machine. Some people prefer #cpu's, some people prefer #cpu's + 1.

Obtaining old kernels: If one needs an old redhat kernel, where does one obtain it? I used google, but it seems like there should be a "redhat-approved" procedure for obtaining such a kernel (say, if you have patches that work best with an older release).
I like to:

cd /usr/src
cp -rfv /usr/local/src/.
...and then make my tweaks under /usr/local/src/

When applying kernel patches, gunzip -c patch.gz | patch -p1 > /tmp/results

...is useful. This applies a compressed patch, and strips off the first directory from pathnames within the patch. You can then "grep -i fail /tmp/results" to see if anything didn't apply correctly.

If you suspect you aren't getting the right modules into your initrd, you can do the following with a known-good initrd:
gunzip -c /boot/initrd-2.4.18-14.img > /tmp/foo
mkdir -p /mnt/loop
mount -o loop /tmp/foo /mnt/loop
cd /mnt/loop/lib

...and then look around to see what's included. These are the modules from your working initrd; make sure you get them in your new initrd if they are still needed.

If you get an unresolved symbol of "e1000_clean" when building the e1000 (intel gigabit ethernet) driver, make sure you click the "NAPI" option; the driver doesn't build without this option.
When building a kernel with the Lustre patches today (Fri Sep 3 16:11:43 PDT 2004), it errored out on the new crypto stuff. If I go into make xconfig and look around, it has all the crypto stuff grey'd out. But if I ^Z after save & exit'ing, and vi .config, then the .config has crypto enabled. I manually disabled it with vi, and then fg'd.
Dan Stromberg - Aug 9, 2004