AzureGE is a multi-platform OpenGL and OpenAL-based game engine. It has built-in support for I/O, threading, and networking, a particle system, a material generator, a texture generator, and a mesh/terrain generator. It is intended mainly for creating role playing games, but can also be used for other types of game.
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NASM is not a library, it is an assembler and should be already installed in most distros (Linux distributions), if not, their extra package will have it.
ZLIB and SDL are also installed in almost any distro too, however if you want to compile ZNES from the source, you'll need to install the appropriate -devel package for your distro.
Since they are so common, usually they are not listed in the depedency list. Since if you do want to list all depedencies of an application, well, then all must also be listed: X, bash, libc, etc ;)