If you're talking about just getting the compiler to generate SSE/AVX etc instructions, and you've got "general purpose" code (ie you're not explicitly vectorising using intrinsics, or got lots of code that the compiler will spot and auto-vectorise) then I should warn you that AVX, AVX2 or AVX512 compiling your entire codebase will probably run significantly slower than compiling for SSE versions.
When AVX opcodes using the upper halves of the registers are detected, the CPU powers up the upper half of the circuitry (which is otherwise powered down). This consumes more power, generates more heat and reduces the base clock speed of the chip, typically by 10-20% depending on the mix of high power and low-power opcodes, so you lose maybe 15% of performance immediately, and then have to be doing quite a lot of vectorised processing in order to make up for this performance deficit before you start seeing any gains.
See my longer explanation and references in this thread.
If on the other hand you're explicitly vectorising using intrinsics and you're sure you have large enough burst of AVX etc to make it worthwhile, I've successfully written code where I tell MSVC to compile for SSE2 (default for x64) but then I dynamically check the CPU capabilities and some functions switch to a codepath implemented using AVX intrinsics.
MSVC allows this (it will produce warnings, but you can silence these), but the same technique is hard to make work under GCC 4.9 as the intrinsics are only considered declared by the compiler when the appropriate code generation flag is used. [UPDATE: @nemequ explains below how you can make this work under gcc using attributes to decorate the functions] Depending on the version of GCC you may have to compile files with different flags to get a workable system.
Oh, and you have to watch for AVX-SSE transitions too (call VZEROUPPER when you leave an AVX section of code to return to SSE code) - it can be done but I found that understanding the CPU implications was a bigger battle than I originally envisaged.