I have Vim on Mac and CentOS. I saw people writing about features like +xterm_clipboard, +lua, etc.
Is there a simple way to install it all? Or do we have to enable options one-by-one and compile it?
If you want to install a pre-compiled package, look for a package name like vim-full, vim-huge or something similar.
If you want to compile yourself, you can pass the --with-features=huge to the configure script. Note, however, this does not enable the different language bindings because those are mostly optional and also the various GUIs need to enabled specifically, because you can have only one GUI.
Therefore, you need to pass the --enable-<lang>interp argument for each language you want (e.g. --enable-luainterp --enable-pythoninterp) and the --enable-gui=<gui> e.g. (--enable-gui=gnome for the Gnome GUI).
This should cover the most important compile options. There might still be some -flags in the :version output, but those should be generally not really important and would need to be enabled specifically. Read the help of the configure call ./configure --help to see all options available.