Cmake founds include directory for opengl, but opengl headers are in a subdirectory that is named differently on different platforms (and, maybe, compilers): gl on Windows, GL on Linux, OpenGL (as far as I know) on Mac. Thus, adding OPENGL_INCLUDE_DIRECTORY to include paths doesn't help very much - I still have to include (or , and so on) in my sources. How should I deal with it?
I assume you mean OPENGL_INCLUDE_DIR, not OPENGL_INCLUDE_DIRECTORY.
You have a couple of choices here.  The simplest is to add ${OPENGL_INCLUDE_DIR}/GL or ${OPENGL_INCLUDE_DIR}/OpenGL to your include search paths and use
#include "gl.h"
in your source code.
The case of filenames is disregarded on Windows, so you don't need to use /gl and /GL - simply /GL will do.
To achieve this, in your CMakeLists.txt do:
if(APPLE)
  include_directories(${OPENGL_INCLUDE_DIR}/OpenGL)
else()
  include_directories(${OPENGL_INCLUDE_DIR}/GL)
endif()
To make this a bit more robust, you can have CMake find the path to "gl.h" and include that:
find_path(OpenglIncludeSubdir
            NAMES gl.h
            PATHS ${OPENGL_INCLUDE_DIR}
            PATH_SUFFIXES GL OpenGL
            NO_DEFAULT_PATH)
include_directories(${OpenglIncludeSubdir})
Again, in your source you'd use:
#include "gl.h"
Possibly the most robust (i.e. avoiding further include paths beyond ${OPENGL_INCLUDE_DIR}) would be to find the path to "gl.h" and then use configure_file to apply the correct #include term.  You would use an input file which contained something like:
#include "@OpenglSubdir@/gl.h"
and then running configure_file would replace @OpenglSubdir@ with its value and write the contents to an output file.  This output file would then be included in your target and would have
#include "GL/gl.h"
or
#include "OpenGL/gl.h"
as appropriate.
To achieve this, you'd do something like:
find_file(OpenglSubdir
            NAMES GL OpenGL
            PATHS ${OPENGL_INCLUDE_DIR}
            NO_DEFAULT_PATH)
get_filename_component(OpenglSubdir ${OpenglSubdir} NAME)
configure_file(${CMAKE_SOURCE_DIR}/my_config.h.in ${CMAKE_SOURCE_DIR}/my_config.h)
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