You're looking for the kernel.devel packages. One example using yum
search kernel-devel:

kernel-devel.i686                        2.6.18-8.1.4.el5
sl-security     
Matched from:
kernel-devel
Development package for building kernel modules to match the kernel.
This package provides kernel headers and makefiles sufficient to build
modules
against the kernel package.
System Environment/Kernel




Another option is to install git and track Linus' tree directly - always
fun. 




On Sat, 2008-02-02 at 16:06 -0800, markaoki wrote:
> hi,
> 
> I looked in FAQ, searched my SL mail archive, the SL web site, read the SL5 
> rel notes, and all I could find relevant to the kernel source whereabouts 
> was a 4.0 rel note saying they were under distro media SRPMS dir. I have 
> such dir on my SL5 DVD, but nothing looks like for the kernel.
> 
> 
> 
> I give up...where is this easter egg hiding? : -\