I am using Ubuntu 12.04 Beta and Vim that has come with it. I am trying to use Vim to copy the content of a text file to Chrome browser.
I have tried +, *
If you have run configure as explained by @DrAl but you still can't get the GUI compiled in and you see this in the output of your ./configure
checking for X... (cached) no
Then you may have to delete the cache file that configure created.
find . -name config.cache -delete
Then re-run configure and make and check src/vim --version again - it should show that gui is included now.