This guide may apply for many other Android devices, but with different bootloaders. In this guide I will explain how to install the ROMs (without buying ROM Manager). First of all, you need to know if you are running Froyo or Gingerbread with Froyo Kernel or pure Gingerbread.
First of all, download ROM Manager (free version) and flash the recovery, selecting Droid X if you are running pure Froyo, if you are using Gingerbread use Droid2 Bootstrap, if you are running Cyanogenmod or MIUI (why are you reading this in first place?) select Droid X (2nd-init).
Then download the desired ROM to the sd-card of your phone.
MIUI 1.9.9 | Direct Download | Forum (for newer versions)
CyanogenMod7 Nightlies | Nightlies List
Liquid Gingerbread 08.06.11 | Direct Download | Forum (for newer versions)
ApeX 2.0.0 RC3 | Direct Download | Forum (for newer versions)
There are many more, check rootzwiki.com to know about them!
The problem of installing the ROMs in this way is that you need to manually update them (and check the forums often if there are updates). Open ROM Manager, and click on Install ROM from SD Card, select the zip of the ROM you are going to install – select data/cache wipe if is your first time moving to Gingerbread, if is just an update rom ROM v1.1 to V1.2 probably doesn’t need that (but it may! check the forums).
I personally use MIUI because it goes fast, totally renewed UI, and great battery life! 