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What's your experience with the testing and unstable versions, which one should I stick to? I'll probably use the latest stable of the other packages but I'm using the KMail client and the version shipped with 2.2.2 is practically unusable for me (doesn't support SMTP authentication and I don't want to setup my own SMTP server).
For a desktop system, I would reccomend that you put both testing and unstable in your sources.list and use a pin in your apt prefferences to make apt default to 'testing'. Once you've done that, you will often have two versions of a given software package available, and apt will choose the one from 'testing' by default. However, if you have a problem with such a package, you can easily use aptitude (or your favorite package management front-end) to upgrade just the one program you're having trouble with.
The advantage of this dual approach is that most of the time, stuff doesn't get into testing unless it's pretty much usable. When it slips by anyway, there's usually an updated version already in 'unstable' to fix the problem, but it might not trickle into 'testing' for a week or more. By having both available in your sources.list, you can try out the newer packages when you want to, without being subject to quite as much rockiness as if you were running a pure 'unstable' system.
Order of entries in sources.list is not meaningless, but close to it. If a package is available in the same version from two different places and that version is the ones selected for installation, then it will be fetched from the source that appears first in the list. Not really an issue, since security patches will have a slightly altered version number.
I can't say I've ever use apt-setup, but presumably they got appended because it's easier to add to the end of a file than to the beginning or middle.
I have KDE 3.0.3 from:
deb [kde.us.themoes.org...] ./
It installed very well, though I have to say that I don't use it enough to know if it is buggy or not.
With Debian, you can't get hung up on the labels, 'stable' means rock solid and boring. A great server platform. Most sensible folks use 'testing', but I have had very little problems with 'unstable' + plus some 'experimental' packages.