In the Intel MKL Link advisory explains the different ways to link MKL with other code. That includes the option of static linking, dynamic linking or single dynamic linking.
http://software.intel.com/en-us/articles/intel-mkl-link-line-advisor/

It mentions that when compiling for OS.X one has to add -m64 to the clang options, but not for Linux.

It also mentions that in case of dynamic linking then one has to run mklvars.sh to set the appropriate vars.
http://software.intel.com/sites/products/documentation/hpc/mkl/userguides/mkl_userguide_win/MKL_UG_getting_started/Environment_Setting_Scripts.htm

http://software.intel.com/sites/products/documentation/hpc/mkl/userguides/mkl_userguide_win/MKL_UG_linking_your_application/Using_dynamic_interface.htm

Apparently there are set of MKL redistributable libraries, that we could re-distribute with Caffe to let people run it without need to have MKL.