Hi,
There are no thirdparty libraries bundled for Linux. You’ll need to install the relevant packages yourself. Run makepanda with --verbose, check what’s missing, and install the packages that you need to build with support for. The install the relevant -dev packages, like python-dev, libpng-dev etc.
Some thirdparty packages not in the Ubuntu repo can be found here:
launchpad.net/~panda3d/+archive/ppa