I have recently released the first official version of a project I have worked on during the last few months. It's called freeAML: an easy-to-use, free and open-source applied mathematics library written in C++.
In this first version, the library contains the necessary basic data structures such as dense and sparse vectors/matrices, linear system solvers, linear least squares solvers and matrix factorization algorithms.
freeAML has an official webpage: freeAML.org. It contains lots of examples describing most of the tools available in the library and also an installation guide.
I hope this helps someone out there. Have fun! ;-)