Up to now, I'm using the ACML from AMD for heavy calculations. But I think it's better optimized for AMD processors and the MKL is better for Intel processors. I wonder, if on Intel-machines you can just use the MKL from an existing MATLAB installation. MKL is not freeware. I tried ATLAS, but this does not compile on my machine. Anyway, I suppose MKL is better optimized for Intel.
IT++ needs to compile both MKL libraries and header files. In my MATLAB R2012a installation on Linux mkl_dfti.h does not exist.