There is no official FindGSL.cmake module in the cmake distribution to “automagically” find the Gnu Scientific Library on Windows, Linux and Mac OS X. I have written such a module which works for my configurations, but might not cover all GSL installation on all OS. But you can modify it to fit your needs.

Anyway, below you’ll find the source code of my FindGSL.cmake module.

# Try to find gnu scientific library GSL
# See 
# http://www.gnu.org/software/gsl/  and 
# http://gnuwin32.sourceforge.net/packages/gsl.htm
#
# Based on a script of Felix Woelk and Jan Woetzel
# (www.mip.informatik.uni-kiel.de)
# 
# It defines the following variables:
#  GSL_FOUND - system has GSL lib
#  GSL_INCLUDE_DIRS - where to find headers 
#  GSL_LIBRARIES - full path to the libraries
#  GSL_LIBRARY_DIRS, the directory where the PLplot library is found.

#  CMAKE_GSL_CXX_FLAGS  = Unix compiler flags for GSL, essentially "`gsl-config --cxxflags`"
#  GSL_LINK_DIRECTORIES = link directories, useful for rpath on Unix
#  GSL_EXE_LINKER_FLAGS = rpath on Unix

set( GSL_FOUND OFF )
set( GSL_CBLAS_FOUND OFF )

# Windows, but not for Cygwin and MSys where gsl-config is available
if( WIN32 AND NOT CYGWIN AND NOT MSYS )
	# look for headers
  find_path( GSL_INCLUDE_DIR
    NAMES gsl/gsl_cdf.h gsl/gsl_randist.h
    )
  if( GSL_INCLUDE_DIR )
  	# look for gsl library
    find_library( GSL_LIBRARY
      NAMES gsl 
    )  
    if( GSL_LIBRARY )
      set( GSL_INCLUDE_DIRS ${GSL_INCLUDE_DIR} )
      get_filename_component( GSL_LIBRARY_DIRS ${GSL_LIBRARY} PATH )
      set( GSL_FOUND ON )
    endif( GSL_LIBRARY )

		# look for gsl cblas library
    find_library( GSL_CBLAS_LIBRARY
        NAMES gslcblas 
      )
    if( GSL_CBLAS_LIBRARY )
      set( GSL_CBLAS_FOUND ON )
    endif( GSL_CBLAS_LIBRARY )
      
    set( GSL_LIBRARIES ${GSL_LIBRARY} ${GSL_CBLAS_LIBRARY} )
  endif( GSL_INCLUDE_DIR )
  
  mark_as_advanced(
    GSL_INCLUDE_DIR
    GSL_LIBRARY
    GSL_CBLAS_LIBRARY
  )
else( WIN32 AND NOT CYGWIN AND NOT MSYS )
  if( UNIX OR MSYS )
		find_program( GSL_CONFIG_EXECUTABLE gsl-config
			/usr/bin/
			/usr/local/bin
		)
		
		if( GSL_CONFIG_EXECUTABLE ) 
			set( GSL_FOUND ON )
			
      # run the gsl-config program to get cxxflags
      execute_process(
        COMMAND sh "${GSL_CONFIG_EXECUTABLE}" --cflags
        OUTPUT_VARIABLE GSL_CFLAGS
        RESULT_VARIABLE RET
        ERROR_QUIET
        )
      if( RET EQUAL 0 )
        string( STRIP "${GSL_CFLAGS}" GSL_CFLAGS )
        separate_arguments( GSL_CFLAGS )

        # parse definitions from cflags; drop -D* from CFLAGS
        string( REGEX MATCHALL "-D[^;]+"
          GSL_DEFINITIONS  "${GSL_CFLAGS}" )
        string( REGEX REPLACE "-D[^;]+;" ""
          GSL_CFLAGS "${GSL_CFLAGS}" )

        # parse include dirs from cflags; drop -I prefix
        string( REGEX MATCHALL "-I[^;]+"
          GSL_INCLUDE_DIRS "${GSL_CFLAGS}" )
        string( REPLACE "-I" ""
          GSL_INCLUDE_DIRS "${GSL_INCLUDE_DIRS}")
        string( REGEX REPLACE "-I[^;]+;" ""
          GSL_CFLAGS "${GSL_CFLAGS}")

        message("GSL_DEFINITIONS=${GSL_DEFINITIONS}")
        message("GSL_INCLUDE_DIRS=${GSL_INCLUDE_DIRS}")
        message("GSL_CFLAGS=${GSL_CFLAGS}")
      else( RET EQUAL 0 )
        set( GSL_FOUND FALSE )
      endif( RET EQUAL 0 )

      # run the gsl-config program to get the libs
      execute_process(
        COMMAND sh "${GSL_CONFIG_EXECUTABLE}" --libs
        OUTPUT_VARIABLE GSL_LIBRARIES
        RESULT_VARIABLE RET
        ERROR_QUIET
        )
      if( RET EQUAL 0 )
        string(STRIP "${GSL_LIBRARIES}" GSL_LIBRARIES )
        separate_arguments( GSL_LIBRARIES )

        # extract linkdirs (-L) for rpath (i.e., LINK_DIRECTORIES)
        string( REGEX MATCHALL "-L[^;]+"
          GSL_LIBRARY_DIRS "${GSL_LIBRARIES}" )
        string( REPLACE "-L" ""
          GSL_LIBRARY_DIRS "${GSL_LIBRARY_DIRS}" )
      else( RET EQUAL 0 )
        set( GSL_FOUND FALSE )
      endif( RET EQUAL 0 )
			
			MARK_AS_ADVANCED(
				GSL_CFLAGS
			)
			message( STATUS "Using GSL from ${GSL_PREFIX}" )
		else( GSL_CONFIG_EXECUTABLE )
			message( STATUS "FindGSL: gsl-config not found.")
		endif( GSL_CONFIG_EXECUTABLE )
	endif( UNIX OR MSYS )
endif( WIN32 AND NOT CYGWIN AND NOT MSYS )

if( GSL_FOUND )
  if( NOT GSL_FIND_QUIETLY )
    message( STATUS "FindGSL: Found both GSL headers and library" )
  endif( NOT GSL_FIND_QUIETLY )
else( GSL_FOUND )
  if( GSL_FIND_REQUIRED )
    message( FATAL_ERROR "FindGSL: Could not find GSL headers or library" )
  endif( GSL_FIND_REQUIRED )
endif( GSL_FOUND )