OpenBLAS is a multi-threaded BLAS library that has been available in Ubuntu for a while, minus the multi-threading. This has been fixed for the OpenBLAS package to be released in Saucy Salamander, and I have backported the package to the more recent releases of Ubunutu, including Raring, Quantal, and Precise. The current version of OpenBLAS is 0.2.8-1.
To install the multi-threaded version of OpenBLAS, install my RDev PPA. Then run the following:
sudo apt-get update sudo apt-get install libopenblas-base
If you are using Precise (12.04) or Quantal (12.10), you will need to install more recent version of atlas and/or blas, which are also available on the RDev PPA. You will notice a warning about breaking older versions of atlas and blas, which is an indication that you will need to install the other packages.
The good news is that once you install the package, there is nothing you need to do to enable the library. It should also use the maximum number of cores available on your machine, up to 64 (hard limit coded into the package).
To test the library, run R-benchmark-25.R before you install the package and then after. Watch the number of cores being used (via htop, for example) with and without OpenBLAS. With OpenBLAS you should see all you cores ramp up to 100% when doing some of the benchmarks. The decrease in time to run the benchmark will vary from machine to machine. To remove the library, just remove the package.
If you have any questions or problems, please let me know.