Install appropriate package for your Linux distribution. Under Debian etch this is package libopenal0a, under Debian lenny libopenal1. For other distros, look for something similar, with openal in their name.
My games work with both common OpenAL implementations: OpenAL Sample Implementation (the original implementation, from Loki, unmaintained) and OpenAL Soft (the newer, maintained version).
Simple pkg_add -r openal command should do the trick.
Newer Mac OS X seems to have this automatically installed. If not, you can download and run Creative free OpenAL installer for Mac OS X. (Choose OpenAL_Installer_OSX, that is OpenAL Installer for MacOS X.)
OpenAL libraries (DLL files) should already be included in all binary packages of my games under Windows. So you don't have to do anything.
However, you're free to remove appropriate DLL files (OpenAL32.dll and wrap_oal.dll) provided in my archives and install OpenAL yourself. This is especially handy if you want to use other OpenAL implementation than the one from Creative. OpenAL libraries that are provided by default come from Creative free OpenAL installer (choose oalinst, that is OpenAL Installer for Windows).
You can always compile from sources. See OpenAL Soft or Creative source code instructions.
In FreeBSD 5.x I had some serious problems getting OpenAL to work smoothly within my OpenGL programs. It was reported on openal mailing list, but this was probably the kind of problem that results from a combination of various things — like my particular sound card, maybe combined with NVidia OpenGL using some significant CPU time etc. So nothing was solved. Only waveout and null OpenAL devices worked correctly. So if you experience problems, you should probably live without OpenAL sound under FreeBSD. Run my programs with --no-sound option.
In FreeBSD 6.x I was glad to notice that OpenAL works smoothly.