The Ansible website has some instructions for installing it on Ubuntu here. However, I like to install things from repositories and not git. So, I found a PPA with the latest version of Ansible on Launchpad.
https://launchpad.net/~rquillo/+archive/ansible
So to install Ansible on Ubuntu run:
sudo add-apt-repository ppa:rquillo/ansible
sudo apt-get update && sudo apt-get install ansible
Thanks Rodney Quillo.