I'm getting the error message:

==30994== Memcheck, a memory error detector.
==30994== Copyright (C) 2002-2005, and GNU GPL'd, by Julian Seward et al.
==30994== Using LibVEX rev 1367, a library for dynamic binary translation.
==30994== Copyright (C) 2004-2005, and GNU GPL'd, by OpenWorks LLP.
==30994== Using valgrind-3.0.1, a dynamic binary instrumentation framework.
==30994== Copyright (C) 2000-2005, and GNU GPL'd, by Julian Seward et al.
==30994== For more details, rerun with: -v
==30994==
==30994== Invalid read of size 8
==30994==    at 0x400862: set_hes_eig_ (test.f90:18)
==30994==    by 0x4007FD: MAIN__ (test.f90:7)
==30994==    by 0x40089D: main (fmain.c:18)
==30994==  Address 0x12329498 is 0 bytes after a block of size 72 alloc'd
==30994==    at 0x11B1C166: malloc (vg_replace_malloc.c:149)
==30994==    by 0x11C2B0B8: _gfortrani_get_mem (memory.c:99)
==30994==    by 0x11C2B0EC: malloc_with_header (memory.c:125)
==30994==    by 0x11C2B220: allocate_size (memory.c:228)
==30994==    by 0x40075E: MAIN__ (test.f90:4)
==30994==    by 0x40089D: main (fmain.c:18)


for the following code, compiled using gfortran 4.0.1 (and the other versions 
I tested, 4.0X) and -g -O2 -ffast-math on opteron, or with -march=pentium4 -
mfpmath=sse on intel:

   IMPLICIT NONE
   integer, parameter :: ndf=6
   real(KIND=8), allocatable, dimension(:) :: eigval,work
   ALLOCATE(eigval(ndf))
   ALLOCATE(work(ndf))
   eigval=1.0_8
   CALL set_hes_eig(ndf,eigval,work)
END
SUBROUTINE set_hes_eig(ndf,eigval,work)
   IMPLICIT NONE
   INTEGER, INTENT(IN)            :: ndf
   REAL(KIND=8), INTENT(INOUT)    :: eigval(ndf), work(ndf)
   REAL(KIND=8), PARAMETER        :: one = 1.0_8
   INTEGER                        :: indf
   LOGICAL                        :: neg
   DO indf = 1, ndf
      IF( eigval(indf) < 0.0_8 )THEN
        work(indf) = - one
      ELSE
        work(indf) =  one
      END IF
    END DO
END SUBROUTINE set_hes_eig


with the asm (objdump -D):

0000000000400830 <set_hes_eig_>:
  400830:       8b 07                   mov    (%rdi),%eax
  400832:       85 c0                   test   %eax,%eax
  400834:       7e 4b                   jle    400881 <set_hes_eig_+0x51>
  400836:       66 0f 57 d2             xorpd  %xmm2,%xmm2
  40083a:       8d 78 01                lea    0x1(%rax),%edi
  40083d:       b9 01 00 00 00          mov    $0x1,%ecx
  400842:       48 63 c1                movslq %ecx,%rax
  400845:       66 0f 12 05 63 01 00    movlpd 355(%rip),%xmm0        # 4009b0 
<_IO_stdin_used+0x8>
  40084c:       00
  40084d:       f2 0f 10 da             movsd  %xmm2,%xmm3
  400851:       48 ff c8                dec    %rax
  400854:       66 0f 12 0d 5c 01 00    movlpd 348(%rip),%xmm1        # 4009b8 
<_IO_stdin_used+0x10>
  40085b:       00
  40085c:       ff c1                   inc    %ecx
  40085e:       f2 0f 10 e0             movsd  %xmm0,%xmm4
  400862:       f2 0f c2 1c c6 02       cmplesd (%rsi,%rax,8),%xmm3
  400868:       39 cf                   cmp    %ecx,%edi
  40086a:       66 0f 54 e3             andpd  %xmm3,%xmm4
  40086e:       66 0f 55 d9             andnpd %xmm1,%xmm3
  400872:       66 0f 56 dc             orpd   %xmm4,%xmm3
  400876:       f2 0f 10 c3             movsd  %xmm3,%xmm0
  40087a:       f2 0f 11 04 c2          movsd  %xmm0,(%rdx,%rax,8)
  40087f:       75 c1                   jne    400842 <set_hes_eig_+0x12>
  400881:       f3 c3                   repz retq

The code itself is valid (don't know about the asm), and there is no such 
error if compiled with -O2 or -O1 -ffastmath. I've therefore filed a PR with 
gcc (http://gcc.gnu.org/bugzilla/show_bug.cgi?id=25607), but it was suggested 
that this could be a valgrind issue.