hi there
i worked a bit with cross compiling for i586-mingw32 targets and made some changes to the script building the cross-environment, originally located at http://www.libsdl.org/extras/win32/cross .
features:
- automatically installs the following scripts: cross-configure.sh, cross-make.sh, a2dll, o2dll (needed by a2dll)
- builds some additional libs (DLLs!): zlib, libpng, jpeg, freetype2, SDL itself, SDL_image, SDL_ttf, SDL_gfx, SDL_mixer
- latest development tools from http://sourceforge.net/projects/mingw32
my script is located at http://www.blah.ch/build-cross.sh
I have successfully built the cross-environment on the following host platforms:
- GNU/Linux - RedHat 7.2 - gcc-2.96
- GNU/Linux - SuSE 7 - gcc-2.95.3
- GNU/Linux - LFS - gcc-3.1 (prerelease from CVS - 20020502)
maybe some of you find it useful, even though it is a bit messy (forgive me, i needed a quick solution ;b).
enjoy! 
sincerely
Roman