Blitz++
Scientific computing C++ library. Uses template techniques to achieve high performance.
C++ Matrix Template Class Library
Supports arithmetic operations, sub-matrix operations, inversion, various matrix decompositions, solution of simultaneous linear equations, and eigen value and eigen vector problem. (by Techsoft)
Large Number Class
A class which allows for developers to implement numbers much larger than previously allowed by built in data types in C++. (currently supports up to 1000 decimal places)
Levenberg-Marquardt non-linear least squares algor
Package containing double and single precision flavors of the Levenberg-Marquardt algorithm. Included are versions with analytic and finite difference approximated jacobians. [Open source, GPL]
MatrixLib
A compact cross platform C++ matrix operations class library for Windows, Mac OS X and Linux. It provides over a hundred different matrix operations and interfaces to BLAS and LAPACK. [Commercial]
Newmat09: C++ Matrix Library
Emphasis is on the kind of operations needed in statistical calculations such as least squares, linear equation solve and eigenvalues.
OptSolve++
Provides a convenient and extensible interface for rapid nonlinear optimization or root-finding with user-specified functions.
Piologie
A library for arbitrary precision arithmetic, operating on natural, integer and rational numbers.
SourcePro Analysis
Object-oriented numerical computation class-library from Rogue Wave.
The Matrix Template Library
High-performance generic component library that provides comprehensive linear algebra functionality for a wide variety of matrix formats.
The Object-Oriented Numerics Page
Scientific Computing in Object-Oriented Languages