Q:

How do you add libraries to CMakeLists? 

After searching everywhere I could not find anything or anyone to help me figure out how to add GL GLEW and SDL2 Libraries to my CMakeLists.txt.  I am using Ubuntu 14.04 LTS and I installed the following libraries with 
sudo apt-get install libsdl2-dev   #for SDL-2
sudo apt-get install libgl-dev     #for GL
sudo apt-get install libglew-dev   #for GLEW

This all worked great, and i was able to compile in g++ with this commmand
g++ ./main.cpp ./display.h ./display.cpp ./shader.cpp ./shader.h -l SDL2 -l GL -l GLEW

Now I need to switch to CMake Compiler and I have no clue how to add the libraries GL, GLEW, and SDL2 to the CMakeLists.txt. 

A:

The way to include the libraries depends on a few things.   Some packages such as sdl2 have pkgconfig files that define the libraries and includes to use. 
Cmake comes with a FindPkgConfig module that can get it for you. 
For example:
include(FindPkgConfig)
pkg_check_modules(SDL2 REQUIRED sdl2)

target_link_libraries(executablename ${SDL2_LIBRARIES})

You can also manually add them with the target_link_libraries function. 
Other packages have "Find" modules like GLEW:  /usr/share/cmake-*/Modules/FindGLEW.cmake
CMake has lots of great docs in the man pages, and on their wiki as @Mikael Persson mentioned.