Since I had to install this on two different machines I thought I'd be nice and leave this for someone else to find.

I store custom compiled stuff in ~/src but you can put it anywhere you'd like

cd src
curl -O http://redis.googlecode.com/files/redis-2.6.14.tar.gz
tar zxvf redis-2.6.14.tar.gz
cd redis-2.6.14
make
cd /usr/local/bin
ln -s /Users/cotton/src/redis-2.6.14/src/redis-server redis-server
ln -s /Users/cotton/src/redis-2.6.14/src/redis-cli redis-cli

Now you can start up the redis-server in any directory (as long as you have /usr/local/bin in your path) using
redis-server &

And opening the client is as easy as
redis-cli