I'm having similar trouble as Eric. Lots of trouble building and installing on OS X Lion, but I finally found a partial workaround.
When I try to compile milk out-of-the-box, I get this error:
unrecognized command line option '-stdlib=libc++'
This extra compiler argument doesn't seem to be supported by my version of g++ distributed with Xcode, which links to llvm-g++-4.2. I also tried gcc47 (via macports), but it also doesn't recognize that option.
However, I found that another compiler, clang++, *does* support this option. So I dug into /usr/bin/, unlinked g++ to the llvm compiler, and instead linked it to clang++. (NOTE: make sure you change this back if you try this).
This let me build *most* everything, but failed on lasso:
error: unable to open output file 'build/temp.macosx-10.5-i386-2.7/milk/supervised/_lasso.o': 'Error opening output file 'build/temp.macosx-10.5-i386-2.7/milk/supervised/_lasso.o''
Since I don't need lasso soon (I just need milk for kmeans), I just went ahead and commented it out in the setup.py. Everything now builds fine and I can successfully import milk.unsupervised
However, this is a bit unsatisfactory... anybody have advice about better ways to get an OS X compiler to recognize libc++?