I've created a C++ audio library for Windows and Mac named "Crosstalk".
It's a real-time C++ audio engine that allows you to create and route audio systems in real-time. Basically, the engine takes care of all the audio routing and gives you a simple platform for creating system components (E.g. "FM Synth" component connected to a "Low-Pass Filter" connected to an "Audio Device" and "File Recorder").
It's very easy to use. Here's an example of how to play an mp3 file (These components are provided with the engine):
XtSystem system;
XtMp3Decoder mp3Decoder;
XtAudioDevice audioDevice;
long md = system.addComponent(&mp3Decoder);
long ad = system.addComponent(&audioDevice);
system.connOutToIn(md,0,ad,0);
system.connOutToIn(md,1,ad,1);
mp3Decoder.loadFile("../05 Tchaikovski-Swan Lake-Scene.mp3");
mp3Decoder.play();
Included with Crosstalk is example Xcode and Visual Studio projects.
You can download Crosstalk and check out the API documentation and licensing details here: http://www.adaptaudio.com/Crosstalk
EDIT (01-12-2012):
Crosstalk has been replaced by an open-source project called "DSPatch". DSPatch is essentially an upgraded version of the routing engine behind Crosstalk that is no longer limited to only audio processing. DSPatch allows you to create and route almost any type of process chain imaginable, and free for personal AND proprietary use :)