Installation

Tested only on Rasbian (Debian Wheezy)

First, install all dependencies

sudo apt-get install git dialog

Then make directory for git and cloning the repo

mkdir ~/git_dir
cd ~/git_dir
git clone https://github.com/petrockblog/RetroPie-Setup.git

After finishnig that, you should have "retropie_setup.sh" file, start it with sudo.

sudo ./retropie_setup.sh

You'll see a dialog, that asks you about "binary" or "source" installation, it's up to you, but the "source" installation takes about 2-3 hours.
So that's it, after installation you should have in your home "RetroPie" directory with some other directories inside.

pi@raspberrypi ~/RetroPie $ ls
EmulationStation emulatorcores RetroArch-Rpi roms SNESDev-Rpi

So let me explain, what is actually means.

emulatorcore

-> separate emulators for respective platform from different developers.
RetroArch-Rpi -> Frontend for emulators (see http://themaister.net/retroarch.html), that allows use these emulators in the same way with same API.
EmulationStation -> GUI for RetroArch

roms

-> copy your ROMs into directory
SNESDev-Rpi > see here http://petrockblog.wordpress.com/2012/07/03/snesdev-rpi-a-snes-adapter-for-the-raspberry-pi/

So, basically you have 3 different layers.

To start the emulators you'll need launch
~/RetroPie/EmulationStation/emulationstation

FAQ

How to use Gamepad

Plug your USB gamepad in to Raspberry PI (I've tested it with some generic PS-Clone Controller).

type this in console

sudo ~/RetroPie/RetroArch-Rpi/tools/retroarch-joyconfig | sudo tee -a /etc/retroarch.cfg

then type respective the button, that you see on the screen.

Using Gamepad to exit Emulator/Game

add this line at the end of /etc/retroarch.cfg

input_exit_emulator_btn = “11″

where "11" is you desired button, for example "11" for my controller equivalent R3 (right stick)

How to make a desktop link

create a file in "~/Desktop/emustation.desktop" with this content

[Desktop Entry]
Version=1.0
Type=Application
Name=EmuStation
Comment=EmulateStation, GUI for Retro Game Emulators
Categories=Game
Exec=/usr/bin/emulationstation
Icon=/home/pi/.joypad.svg
Terminal=false
StartupNotify=false

Of course you need change "Icon" with your image.

I can't see my ROMs.

check you "EXESTENSION" value in "EmulationStation" settings, it's case sensitive!

less ~/.emulationstation/es_systems.cfg

e.g for Sega it's ".smd", so it means a rom this name Sonic.SMD (not Sonic.smd) will not be displayed!

P.S. Thanks to  Aloshi, petrockblog, ToadKing and others.