As I discussed with Elias here: http://www.allegro.cc/forums/thread/607408
The current cmake settings produce broken static libraries for Windows. (ie. it compiles fine, but non-trivial statically linked Allegro programs will crash.)
The problem is that ALLEGRO_CFG_DLL_TLS doesn't work with static linking.
The patch I've attached simply tells cmake not to define ALLEGRO_CFG_DLL_TLS when building the static libraries.
I've tested this on Windows 7 and it seems to work.