The USE flag sdl does not automatically get libSDL when compliling mplayer which causes it to fail. Mplayer version tested with is 1.0_pre4 and the one before it.
Err... I'm looking at mplayer-1.0_pre4-r4, with USE="sdl" emerge mplayer it *will* pull in media-libs/libsdl. Perhaps I'm missing something here, are you positive of this? If so, please reopen the bug. Unless something further then media-libs/libsdl is required, the dep is there.