Common Linux Alpha problems

Using X11: "Access to private resource denied". This problem is known for kernels 2.0.* and is caused by a bug in the Sys-V IPC support. You should get the Alpha diffs from gatekeeper.dec.com, recompile your kernel and try again ;)
MILO might have problems when trying to boot kernels from beyond 2GB on your harddisk. My solution is to have a small boot partition at the beginning of my disk just containing my kernel images.
MILO also has problems with symbolic links so do not try to boot from a symlink ;) A newer version of MILO capable of symlinks is rumored to hide at ftp://genie.ucd.ie/pub/alpha/milo/ with the name milo-2.0.35-0.1.tar.gz
FM and wavetable music plays far too fast: This is because the Alpha clock ticks at 1024Hz not 100Hz like on normal PCs. All programs that show that effect are not written correctly. I have patched xmp and ldescent to reflect this (look at the packages) but most other programs will show that effect.
Compiling a kernel is somewhat different than on Intel. The normal make target zImage is not supported. On Alpha the make target is boot which will build a compressed kernel image in the directory linux/arch/alpha/boot/. For nearly all versions you should also comment out the SMP=1 definition from the toplevel kernel Makefile.