I'm coming off a windows environment and Xubuntu has a similar layout, so that's my choice here. You can do the same with any *buntu. Other distros have different packages, so no guarentees on compatability.
Note: VirtualBox sometimes has issues with displaying newer versions without workarounds.

Getting started (plan a few hours, largely dictated by internet and drive speed)
Expectation is that you can find your way around directories with a terminal and able to install software. Alternative expectation is a place for build questions on various software for Steamlink.

Grab Oracle VirtualBox and install
https://www.virtualbox.org/

Grab Xubuntu 14.04.5 64 bit
Note: We can upgrade later but it works better if we start with this lower version as far as VirtualBox compatability.
http://cdimage.ubuntu.com/xubuntu/releases/trusty/release/xubuntu-14.04.5-desktop-amd64.iso

If at all possible do this with an SSD as compile times gets much faster.
Many many hours faster if you try to compile something like Chromium for QT.

Fire up VirtualBox
Click the New icon in the top left.
Name it 'Xubuntu' type 'Linux' version 'Ubuntu (64-bit)'
Memory, set to 4096 if you have more than 4 gigs of ram.
Follow the defaults
Note: dynamic does not mean that it grows beyond what you pick here, just that it takes less space until reaching this limit.
You may be able to get away with 30 gigs, but I've had to resize already, so I recommend around 50 gigs. (resizing is a pain)

You should now have a powered off Xubuntu machine. Double click it.
It should ask you for the CD. Click the folder icon and browse to the Xbuntu ISO that you downloaded. Follow the prompts.
Download the updates and NOT use 3rd party drivers.
I just use the username steamer and pick a super simple password and log in automatically. You will need your password a lot, so I just pick something simple I can type with one hand.
Note: We aren't running a file server or anything critical, and it's stuck in virtual space away from our main OS, but harden as much as you would like.

If it hangs on reboot (should only take about 10-20 seconds) go to Machine up top and Reset it. When it comes up declune the updates and upgrade prompts. We won't need it.

Luxury Item: I like the "start bar" on the bottom. Right click the bar, Panel->Panel Preferences and unlock. You get a little tab on the left side of the bar you can drag it to the bottom with. Relock and done.

Luxury Item: Click start and drag terminal and web browser to the desktop. The first time you run them select mark executable and it won't bug you again.

Luxury Item: Go to start->settings->litelocker and turn it off so it doesn't keep logging out and blanking screen.

We are are going to want the guest additions to improve performance of the VM (by a lot).
Click Devices and 'Insert Guest Additions CD-ROM'.
It should open the folder. Right click on whitespace in the box and 'Open Terminal Here'

Then run the following for the guest additions.
Note: Linux is case sensitive. Use capital letters where capital

Once it's done go to Devices and Optical Drive and eject the guest additons.
After that shut it back down.
Right click Xubuntu and go back to settings.
I like to have General->Advanced shared clipboard and drag and drop as bidirectional. (This lets you move files and paste from the Windows clipboard)
Note. I don't know what sort of security risks this poses if any, but I like the convenience. Do your own research on it.
System->Processor I like to use all 4 of my cores.
Display->Enable 3D acceleration

Luxury Item: Go into start->settings->display and bump the resolution up. If it doesn't look right in the window and has scrollbars, press RightCtrl+L then again and it should sort itself out. You can look at the different views in VirtualBox with View on the top menu.

Alright, that should give us a base to start thinking about building something for steamlink.
Go into the terminal either from the desktop shortcut or through the start menu. This starts in your /home/<name> folder.
If you enabled bidirectional clipboard you should be able to start copying commands from here and pasting them into terminal.
We will need git to pull from Github before grabbing the SDK
Note: SDK is over 2gig and it needs to index after, so it'll be awhile.

Once that's done, let's try the Retroarch example.
Note: it no longer has slowdown after 5-10 minutes
We are going to want to do a couple changes.
Go into the home folder on the desktop, steamlink-sdk/examples/retroarch/ and right click on build_steamlink.sh and open with mousepad.
The line we are looking for is ./configure after # Build it
At the end add --disable-qt --disable-discord and then save and quit.
Note: before each new build of retroarch you will want to got into steamlink-sdk/examples/retroarch/retroarch-src and run 'make clean' from the terminal.

That should be it. If it's successful you now have a steamlink folder in your retroarch folder.
Just copy the whole folder to a usb, plug it in and reboot the steamlink hardware.
Note: To use a USB with VirtualBox go to Devices->usb-> and look for your drive (Mine is a SanDisk Cruzer Edge)
Note2: Otherwise you should be able to just drag it to a folder on your windows machine and do it from there if you enabled bidirectional earlier.

After install take the steamlink/apps/retroarch.tgz and move it to another folder on the USB after install. If you don't it reinstalls and overwrites everytime.

Going to make a step 2 for a more detailed setup including cores, roms, more aggresive optimizations in a following comment.