Never used the repository directly, I stuck to the snapshots since those are easier to build. In those cases I can get away with this (once extracted, make sure to go to the relevant directory):
sudo make install
(that last one is so you can start using the library right away instead of waiting for the operating system to update the cache, otherwise it'll be ready to use when you reboot anyway)
With Hg the problem is that it expects the build directory to be separate or it'll complain at you. This topic appeared a bit ago in the SDL mailing list, the following two suggestions may help you with this one:
Make a directory (anywhere) and cd into it. Then run your <SDL2 dir>/configure from there.
Make a copy of SDL in a separate directory and remove the .hg folder from it, that should do the trick. It's not exactly out of source building, but it's easier to just get it working.
After that you should be able to build SDL as I mentioned before.
Also CMake support still is unreliable as far as I know. If you just want to get SDL working I'd suggest to avoid it in the meanwhile.
Don't pay much attention to "the hedgehog" in my nick, it's just because "Sik" was already taken =/ By the way, Sik is pronounced like seek, not like sick.