Original issue: Shougo/neocomplete.vim#31
@JohanTan From my experience, this is how it will work (only tested on Ubuntu):
sudo apt-get install liblua5.1-dev
sudo cp -r /usr/include/lua5.1/* /usr/include/lua5.1/include/
sudo ln -s /usr/lib/x86_64-linux-gnu/liblua5.1.so /usr/local/lib/liblua.so