To build jQuery, you need to have the latest Node.js/npm and git 1.7 or later. Earlier versions might work, but are not supported.
For Windows, you have to download and install git and Node.js.
OS X users should install Homebrew. Once Homebrew is installed, run brew install git to install git, and brew install node to install Node.js.
Linux/BSD users should use their appropriate package managers to install git and Node.js, or build from source if you swing that way. Easy-peasy.
Special builds can be created that exclude subsets of jQuery functionality. This allows for smaller custom builds when the builder is certain that those parts of jQuery are not being used. For example, an app that only used JSONP for $.ajax() and did not need to calculate offsets or positions of elements could exclude the offset and ajax/xhr modules.
Any module may be excluded except for core, and selector. To exclude a module, pass its path relative to the src folder (without the .js extension).
Some example modules that can be excluded are: