The F# Distribution now comes with a sample showing how to bind to and use some simple BLAS and LAPACK routines from F#.
Choosing a linear algebra library to use with .NET is not an easy choice. The ideal would be if a single, managed set of binding libraries existed that gave a polished interface to all the good things out there - LAPACK, MKL, BLAS, ATLAS etc.
One choice that seems promising is the dNA library from http://www.dnanalytics.net/. One consideration is that F# comes with preliminary matrix and vector types, though without linear algebra support. The dNA libraries offer their own versions of these types, which can, of course, be used directly with F#.