You did not specify the platform but on osx 10.6.3 sdl+lablgl works.

More precisely

> sdl+LablGL in interpreted mode => Failure

Works but you need to make a custom toplevel (see ocamlsdl's readme about osx).

$ ocamlmktop -I +lablGL -I +sdl -custom -o ocamlsdl lablgl.cma
bigarray.cma sdl.cma
$ ./ocamlsdl -I +lablGL -I +sdl test.ml

> sdl+LablGL in native code => Failure

Works here with

$ ocamlopt -I +lablGL lablgl.cmxa bigarray.cmxa -I +sdl sdl.cmxa test.ml -o test

Best,

Daniel