Trying to follow the directions from: http://github.com/zeromq/jzmq
I installed pkg-config using Homebrew and then I run the following commands: ./autogen.sh ./configure
On Osx Mountain Lion I don't have the dirlist file as Phil Calçado said, but a simple symlink from /usr/local/Cellar/pkg-config/[version]/share/aclocal/pkg.m4 to /usr/share/aclocal made the trick and now jzmq build fine.
/usr/local/Cellar/pkg-config/[version]/share/aclocal/pkg.m4
/usr/share/aclocal