Allegro works with a varity of configurations, so there is a good chance that you will be comfortable from the very beginning. It is not important that you set Allegro up under more than one configuration. In general, you can do all your work from one place until you are ready to do a public release. At that point, you may want to make versions for the various platforms. If you release your source code, there is a good chance some one else will compile your project for you on your non-native platforms.
If you are running a Microsoft Windows OS, then it is highly recommended that you stick with the Windows version of Allegro. While the DOS version is more mature and thus more stable at times, people with the latest Windows operating systems will have major problems running projects compiled for DOS. The best compiler for Windows is probably Microsoft's Visual Studio. Do not worry if you cannot afford it - there is a good, free alternative named MinGW32.
On Windows 95 or 98, DOS still is a choice. While you may run into compatibility problems (especially dealing with sound), if you want to stick with DOS nothing is preventing you. The DJGPP compiler is the way to go for DOS.
Allegro gives you Linux / BSD fans one less reason to boot into a Microsoft environment. :) With Linux, all you need is modern GCC and GNU Make tools - which should already be loaded. To properly run Allegro, you will need to be running X.
As of this writing the MacOS version of Allegro is incomplete. If you can help out here, a lot of people would be your friends! So unfortunately, if you want to develop for MacOS, you are a little bit out of luck right now.
If you do not like Windows, and had no luck with Linux, you may want to check out some of the other operating systems available - namely BeOS and QNX. Both are simple to install and can run alongside Windows with no partioning necessary! They are Unix-like, yet feature easy to use GUIs.
The classic way to get Allegro over the ages has been to download the source code and compile it yourself. This is useful because it allows you to make tweaks to Allegro or possibly even remove features you do not want to use. Also, if you are comfortable with compiling Allegro, you will be able to upgrade to the newer versions on a more timely basis.
If you would rather not hastle with compiling Allegro, there are numerous binary versions available for DOS and Windows. Keep in mind that you will have to download separate versions for every compiler that you wish to use.
If you like to stay updated in between versions, you can use CVS to update your copy of Allegro. CVS is a powerful tool that allows all the Allegro developers to work on the source code at the same time.