It's actually quite a bit worse than that. For instance, I successfully built and installed mono locally now, but am unable to run simple gtk-applications.

    git clone git://github.com/mono/mono.git mono.git
    cd mono.git
    ./autogen.sh --prefix=${HOME}/opt
    make get-monolite-latest # Need mono to compile mono
    make EXTERNAL_MCS="${PWD}/mcs/class/lib/monolite/gmcs.exe"
    make install
    export PKG_CONFIG_PATH=${HOME}/opt

I can now successfully compile and run a command-line hello world, but a simple gtk-test (and winforms test) fail when attempting to run the examples. This probably has someting to do with linking and assemblies, but experimenting with PKG_CONFIG_PATH, GAC_PATH and MONO_PATH makes no apparent difference...

   cat <<eof > hello.cs
   using System;
   public class HelloWorld {
    static public void Main () { Console.WriteLine ("Hello Mono World!"); } }
   eof
   mcs hello.cs
   mono hello.exe

   > Hello Mono World!


   cat<<eof > hello-gtk.cs
   using Gtk; using System;

   class HelloWorld {
    static void Main () {
        Application.Init(); 
        Window w = new Window("Hello Mono World!");
        w.Show(); 
        Application.Run(); }}
   eof
   mcs hello-gtk.cs -pkg:gtk-sharp-2.0
   mono hello-gtk.exe

   > Unhandled Exception:
    System.IO.FileNotFoundException: Could not load file or
    assembly 'gtk-sharp, (...)