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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.
Bullet Physics Engine has a small matrix math library optimized for SSE and PS3.
Another library that might be interesting to you is Intel Integrated Performance Primitives. This library is well optimized, but it is not free, and no source code is available.
How about built-in one? http://ds9a.nl/gcc-simd/
There is NT2 library. http://nt2.sourceforge.net/
This library has plan, proposal to Boost C++ Libraries.
The Intel ICC compiler comes with an SSE-optimised math library called MKL.