To install the guest agent on an Ubuntu VM, I tried:
  1. Start the Ubuntu VM if it isn't already running
  2. In XenCenter, select the VM in the left panel, and select the Console tab in the right panel
  3. Select "xs-tools.iso" from the drop down list just above the console window
  4. Click on the console window, log in if necessary, and type sudo mount /dev/hdd /mnt
So in other words, where the Xen documentation says /dev/xvdd, use /dev/hdd on Ubuntu.

If you just type sudo /mnt/Linux/Install.sh, it tells you you're running an unsupported distribution. I thought I'd be clever and try the force it to use the Debian 3 tools:
  1. Type: sudo /mnt/Linux/install.sh -d debian -m 3
  2. Reboot: sudo shutdown -r now
That left me with an unbootable kernel. I booted from the original Ubuntu kernel, then edited /boot/grub/menu.lst to change the default kernel to 2 so it would boot the good kernel.