It appears that (some? all?) builds of OpenSSL 0.9.8 require libdl in order to link. Configure should be smart enough to figure this out but currently isn't. Also need to be aware of an interaction with --with-pam, since it may move -ldl int $PAM.
configure will explicitly check if OpenSSL requires -ldl and add it to LIBS as necessary.
With the release of 4.4, we believe that this bug is now closed. For information about the release please see http://www.openssh.com/txt/release-4.4 .