Blender depends on several 3rd party libraries for some of its functionality. If you want you can check out the lib module from CVS. This module contains several directories, each for a different platform. Depending on the platform it contains some prebuilt libraries, but not all are available that way, like the Quicktime SDK.
If you don't trust binaries built by others, or you are a purity freak, you can of course create these yourself. Below a list of the dependencies needed by Blender:
<typolist>Python 2.3: www.python.org
libjpeg: www.ijg.org
libpng: www.libpng.org/pub/png/
zlib: www.gzip.org/zlib/
OpenAL: www.openal.org (for Linux/Windows)
SDL: www.libsdl.org (for OpenAL)
Quicktime SDK 6: developer.apple.com/quicktime/
ODE: opende.sourceforge.net (also available from blender/extern/ode!) Blender ODE implementation not currently maintainted</typolist>
Note: for the Windows builds Quicktime is expected at basedir/../lib/windows/QTDevWin (which contains directories CIncludes and Libraries).
Note2: In the case of Windows most of the dependencie can be found from the lib/windows module in the CVS.