Normal procedure:

source setenv.sh
make

After that executables and libraries should be available in BUILD_*. Settings for libraries can be changed in Makefile.config. Please note that this file will be created after running make for the first time.

The following is just a list of typical pitfalls:

(1) On some systems (openSuSE) some library links are not set appropiately

ln -s /lib/libbz2.so.1 /lib/libbz2.so
ln -s /usr/lib/libg2c.so.0 /usr/lib/libg2c.so

(2) For running unit tests with "make check" you need
zypper install cppunit-devel

(3)

BZLIB not found (see Makefile.config) ...
/usr/lib64/gcc/x86_64-suse-linux/4.6/../../../../x86_64-suse-linux/bin/ld: cannot find -lbz2

This error occurs when the link to libbz2 is not set properly 
32bit: ln -s /lib/libbz2.so.1 /lib/libbz2.so
64bit: ln -s /lib64/libbz2.so.1 /lib64/libbz2.so

The bz2 lib check successfully detects this mistake, however, Magick++-config uses -lbz2 anyway.