My distro is Ubuntu 9.04, and processor Core 2 Quad Q9400.
I have done it with dynamical memory, but segfault remains. Also, it's intresting, when I uncomment bzero call, the program finishes normally.

#include <stdio.h>
#include <mkl_lapack.h>
#include <unistd.h>
#include <string.h>

int main(){
int n = 3;
// 1 2 3
// 2 4 5
// 3 5 7
double MM[1000] = {1, 2, 3, 2, 4, 5, 3, 5, 7};
double *M = (double *) malloc( sizeof(double) * 1000);
memcpy(M, MM, sizeof(double) * 9);
//bzero(M, sizeof(double) * 1000);
double a,b;
int i,j;
double accuracy = 1e-6;
int m;
double *eigVal = (double *) malloc( sizeof(double) * 1000);
double *eigVect = (double *) malloc( sizeof(double) * 1000);
int *isuppz = (int *) malloc( sizeof(int) * 1000);
double *work = (double *) malloc( sizeof(double) * 1000);
int *iwork = (int *) malloc( sizeof(int) * 1000);
int many = 1000;
int status = 0;

// First two work:
a = -100;
b = 100;
dsyevr("V", "V", "L", &n, M, &n, &a, &b, &i, &j, &accuracy, &m, eigVal, eigVect, &n, isuppz,
work, &many, iwork, &many, &status);

i = 1; j = 2;
dsyevr("V", "I", "L", &n, M, &n, &a, &b, &i, &j, &accuracy, &m, eigVal, eigVect, &n, isuppz,
work, &many, iwork, &many, &status);

// Second two make segfaults:
i = 1; j = 3;
dsyevr("V", "I", "L", &n, M, &n, &a, &b, &i, &j, &accuracy, &m, eigVal, eigVect, &n, isuppz,
work, &many, iwork, &many, &status);

dsyevr("V", "A", "L", &n, M, &n, &a, &b, &i, &j, &accuracy, &m, eigVal, eigVect, &n, isuppz,
work, &many, iwork, &many, &status);

int k;
for(k = 0; k < n; k ++){
printf("%f ", eigVal[k]);
}
printf("\n");

return 0;
}