Try #include <allegro5/allegro.h> or #include <allegro5/allegro5.h>

Thank you, LennyLen! Unfortunately I've got another problem now. I don't know if that matters, but I'm running Mac OS X 10.5 on a G5.

My code:

#include <allegro5/allegro.h>
int main(int argc, char* argv[]) {
        al_init();
        return 0;
}
END_OF_MAIN()

Compilers opinion (started with: gcc hello.cpp):

Undefined symbols:
"___gxx_personality_v0", referenced from:
___gxx_personality_v0$non_lazy_ptr in cceozQSp.o
"_main", referenced from:
start in crt1.10.5.o
"_al_install_system", referenced from:
_mangled_main(int, char**)in cceozQSp.o
ld: symbol(s) not found
collect2: ld returned 1 exit status

The response of g++ is similar:

Undefined symbols:
"_main", referenced from:
start in crt1.10.5.o
"_al_install_system", referenced from:
_mangled_main(int, char**)in ccMAS6NT.o
ld: symbol(s) not found
collect2: ld returned 1 exit status

I did:

#include <allegro5/allegro.h>
int main(int argc, char* argv[]) {
        al_init();
        return 0;
}
END_OF_MAIN()

It's that in OS X.

`pkg-config allegro-4.9 kcm_audio-4.9 a5_acodec-4.9 --libs`

The documentation already lists which functions go into which addon (or rather, which addon contains which function) - although that may be a recent addition. It should probably also give you the linker option or the name of the library to link with to get that particular addon.
Yes, that's a part of the documentation that should be updated. What's really missing right now is a "Using Allegro" type section that gives you the bird's-eye overview.

In your particular example, "ex_acodec" should be a hint that you need to link at least with a5_acodec (otherwise a glance at the source should tell you this), which depends on kcm_audio (pkg-config would pull that dependency in automatically, I think). So it shouldn't be that hard to figure out.
But again, a "Using Allegro" section is lacking at the moment.

Thank you all! Just had to download pkg-config. My do-nothing-allegro-program compiles now, using:

g++ `pkg-config allegro-4.9 --libs` hello.cpp

To Evert (asking if I'm sure, that 4.9.12 is what I want): No actually I was/am not sure. I just downloaded the newest version from Sourceforge and tried to follow the instructions in the readme file. Since I have a working environment now, I think (at least I hope) I will be fine...

Thanks again to everyone!

Ok. In that case, I applaud your determination and encourage you to ask lots of questions and give loads of feedback on the library and the documentation. The reason is that the library (and the API) are not stable yet and still subject to change , so if something is not designed well, it can still be fixed now.
The downside is that the documentation is incomplete and somewhat rough compared to Allegro 4's documentation and that subsequent releases may not be compatible: be prepared for having to change your code after you update to the next version of Allegro.