The fastest math libs are in Fortran. You can get close in C/C++, but the everything-is-a-pointer philosophy of C gets in the way of some compiler optimizations that are available in Fortran. (Wasn't there something posted to HN about this in the last couple of weeks?)

The penalty is that you must use Fortran, though. If the app does anything besides crunching numbers, most people would choose a more comfortable language, or just write the crunchy bits in Fortran and use a FFI if they're ambitious.