If we don't have a .o, we don't need dependencies, so skip the setup
step of building them. Instead, when building the .o, we generate the
.dep and output it (to objs/ to make the rules a little easier). The
next run of make will include the dep file and any dependencies will be
picked up.

This change also disables the disabling of dependency checking if we
have zlib or openssl being compiled from third_party. Additionally it
inverts the logic for including dependencies from ONLY if we are doing a
clean to ONLY if we are NOT doing a clean.

They're trivially recreatable from the _OBJS variables now.

Files that have dependencies on phony targets are always remade, leading
to much unnecessary compiling of the C++ tests.