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I use Visual Studio with DiretX XNA math library. Now, I use GNU compiler collection. Advise me a SIMD math library with a good documentation.
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Eigen http://eigen.tuxfamily.org/index.php?title=Main_Page
It supports SIMD extensions out of the box, it is well documented, it is quite flexible, it provides a lot of quality implementation of linear algebra methods, and have all the overloaded operators goodness. I've used it for several science-related projects, was very happy, especially after playing with others libraries.
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There is NT2 library. http://nt2.sourceforge.net/
This library has plan, proposal to Boost C++ Libraries.
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How about built-in one? http://ds9a.nl/gcc-simd/
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