In ROOT 5, you need to use ACLiC and you need to load the system provided gsl manually so, try:
root [0] gSystem->Load("/usr/lib/libgsl"); // load the system provided gsl
root [1] .x test.cxx++
In ROOT 6, there is no need to use ACLiC and your macro can automatically load the system provided gsl, if you add R__LOAD_LIBRARY(libgsl) right in the beginning of your macro.
If you have the “builtin_gsl” (i.e. when “root-config --has-builtin_gsl” returns “yes”), you may try:
root [0] gSystem->Load("libMathMore"); // force loading of the builtin_gsl
root [1] .x test.cxx
Note however that, you #include "gsl/gsl_sf_bessel.h" and this file will come from your system provided gsl, NOT from your ROOT’s “builtin_gsl” so, you will mix two different gsl versions. Expect problems.