Hi,
I would recommend some changes to the documentation:
When using a SSH key, the passphrase (at least on Mac) is not stored by the system's SSH agent, but it looks like the key password has to be entered into the password field in x2go. Took me quite a while to figure out. ;-)
For installing the package key on Ubuntu and probably Debian, the following command is easier than the one in the documentation: apt-key adv --recv-keys --keyserver keyserver.ubuntu.com C509840B96F89133
For adding the apt archive, I recommend using echo "deb http://x2go.obviously-nice.de/deb/ lenny main" >> /etc/apt/sources.list.d/x2go.list instead of adding to sources.list directly.
Florian