Read it here: http://www.kavoir.com/2009/12/how-to...-your-vps.html
It's particularly for Debian Lenny, the steps should be almost identical on other distributions though. Rather than "aptitude", you will need to use "apt-get" or "yum" instead. After installation you can test it by writing a hello world program following the tutorial at the official site:
Code:
package main
import "fmt"
func main() {
fmt.Printf("Hello, world!\n")
}
Simple and sweet, huh 
There are some more in-depth instructions on installing Go at the official site that you may want to check out.