This guide is aimed at anyone wanting to download the game (i.e. the executables) for running. For those who want to compile from sources, the Github repository is here (https://github.com/jamespetts/simutrans-extended).
Because Simutrans-Extended is currently in early access, being still in development (although playable), a nightly build system is used: that means that the Bridgewater-Brunel server compiles a new version every night from the latest code. New versions may contain new features or bug fixes, although there are not updates to the code every day.
It is not necessary to download a new version every day (unless you want to play online using the nightly build server (http://bridgewater-brunel.me.uk), where you will need the latest version to stay in sync with the server), but you should get the latest version before posting a bug report in case the bug that you are reporting has already been fixed.
Windows (64-bit only)
A complete version of Simutrans-Extended containing both of the currently developed Extended specific paksets (being Pak128.Britain-Ex and Pak128.Sweden-Ex) can be downloaded in .zip format here (https://bridgewater-brunel.me.uk/downloads/nightly/packages/Simutrans-Extended-Complete.zip).
To download the executable files individually, see here (http://bridgewater-brunel.me.uk/downloads/nightly/windows/). As of December 2020, only 64-bit versions for Windows are now available. The last Windows executable built in 32-bit from the 8th of December 2020 can be downloaded here (http://bridgewater-brunel.me.uk/downloads/Simutrans-Extended-32.exe).
The automatic nightly builds of makeobj for Windows do not work at present (April 2017, June 2020, December 2020). Manually built versions of Makeobj for Windows are available here (https://bridgewater-brunel.me.uk/downloads/Makeobj-Extended.exe).
Linux (64-bit only)
A .deb file for Debian/Ubuntu containing all of the files needed to play can be downloaded here (https://bridgewater-brunel.me.uk/downloads/nightly/packages/). This is an early experimental .deb file build and the directory structure needs work, so this will not automatically run from the path in its current configuration.
The executable files for Linux can be downloaded here (https://bridgewater-brunel.me.uk/downloads/nightly/linux-x64/).
Note: If you are using Kubuntu, you also need to install libminiupnpc17 using a package manager. This is installed by default on many other Linux builds, including other Ubuntu builds.
To download just the paksets, which are also rebuilt automatically every night, see below:
After the initial download, there is a tool to keep Simutrans-Extended and the paksets up to date with the latest nightly version by only downloading and updating the files that have changed since the previous nightly version, saving unnecessary downloading and manual extracting. It is available here (http://bridgewater-brunel.me.uk/downloads/Nightly%20Updater%20V2.zip). It requires Java version 9 or later to work. Credit for this goes to Dr. Supergood of these forums.
Old versions (Simutrans-Experimental)
For old versions (i.e. the old Simutrans-Experimental release builds and compatible paksets), see here (https://forum.simutrans.com/index.php?topic=1894.msg19644#msg19644).
Edit: Corrected the link for the Windows build of Makeobj-Extended.
Edit 2: Amended links to HTTPS
Edit 3: Noted the discontinuance of 32-bit Windows builds