To do this on Ubuntu (and probably many other systems), hold SHIFT, then press AltGr, release them both, and type something like “/=”. You should see the ≠ symbol appear.
In Ubuntu MATE, you can customise what key is the compose key by opening “Keyboard”, clicking “Layouts”, then “Options…” and checking a box under “Position of compose key”. I checked “Right Alt”, meaning my “AltGr” key is now the compose key.
More info: Ubuntu ComposeKey docs.
Want to explore? See the list of the default sequences you can type.