NOTE: Support for dmraid has been improved in Ubuntu 6.06, and several of the steps below are theoretically no longer necessary. If you install from the Live cd, install the dmraid package from universe before you start the installer program (Ubiquity). Just make sure you choose your RAID devices under /dev/mapper and do not use the raw devices /dev/sd* for anything. So far, I have heard from one user that Ubiquity then just installed the whole system as usual.
However, this apparently works for some, while for others (myself included), Ubuquity crashes. It is possible that as 6.06 stabilizes, this tedious procedure will be unnecessary. In the meantime, take heart in knowing you will also learn a lot about your system.
If Ubiquity does not complete the install "automagically", you can manually complete the process by following the procedure outlined in this howto. It is also very important to note that there are a number of steps that are no longer required for Ubuntu 6.06 or later, and these have been marked "Ubuntu 5.10".
Again, if you are installing Ubuntu 6.06 or later, don't follow the steps marked "Ubuntu 5.10".