I discovered that an option when building GDAL is a little misleading - with-static-proj (vs. the default 'dynamic' linking). That doesn't mean using the static libproj.a vs. the dynamic libproj.dylib. It means whether it links to libproj at compile time (static) or not (dynamic). Strange, you normally want things linked at compile time, and this is the only GDAL compile option for libraries that does this. Something to do with the Linux way of linking I think (you'd set an environment variable pointing to extra locations to find libraries). So, with the 'dynamic' link option, the utilities (gdal_translate, ogr2ogr, …) couldn't find the GIS Libs libproj and couldn't project any data.
Well, that's fixed now in GIS Libs 1.3.3.