I have been trying to produce a statically linked "single binary" version of my game for windows. I want to link with sdl, sdl_image and sdl_mixer which in turn pull in a few support libraries. Unfortunately I haven't found a way to get them all to compile and link using cygwin/mingw/gcc. As far as I can tell all existing public versions are only shared libraries / dlls.
Please note that I'm not talking about licencing here. The source will be open thus the GPL/LGPLness of sdl is not relevant.