You can compile for GP2X using rlyeh's Minimal SDK. You cannot compile for any other platform.
Minimal SDK is a library written in C for use in a C or C++ application to access the hardware on the GP2X. It allows you to set the screen type that you want, to quickly draw images on the screen using the hardware blitter, to access the buttons and stick, to add sound playback support, to use the 2nd processor, plus a whole lot more.
You still have to know how to write programs in C or C++ to use Minimal SDK. Think of SDL as heavyweight, and Minimal SDK as lightweight (though getting heavier).