I noticed that the version of vim on my CentOS 6.5 installation was outdated. Here are the steps I followed to install the latest version from source.

First, switch to root user

sudo su  

Make sure that mercurial is installed

yum install mercurial  

I also needed to install the ncurses library

yum install ncurses-devel  

Fetch the latest source from googlecode and change to the created directory

cd /usr/local/src/  
hg clone https://vim.googlecode.com/hg/ vim  
cd vim  

Configure it

./configure --prefix=/usr --with-compiledby="Cody" --with-features=huge --enable-rubyinterp --enable-pythoninterp

Make it

make && make install  

You should now be able to use the latest version of vim.

ls -la /usr/bin | grep vim  
which vim