Setting environment variables
There is a special environment file which loginwindow reads each time a user logs in. The environment file is: ~/.MacOSX/environment.plist
Dot files aren't, by default, visible in the finder, so type cd; open .MacOSX in a terminal. If the environment.plist file is there you can open it in the Property List editor with a doubleClick. Otherwise, you will have to create the .MacOSX directory yourself.
To create the directory and file
$ cd
$ mkdir .MacOSX
$ echo "" > .MacOSX/environment.plist
$ open .MacOSX/environment.plist
This should open your new, empty environment.plist file in the Property List Editor. Select Root and Add a Child: the Key should be the name of the variable you want to set; Type should be String; Value should be the value you want to set for this variable. Next time you log in the variables should be set.
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Environment variables set in environment.plist also appear in the standard bash environment. You can see all your environment variables using the shell command env from a Terminal window.
REFERENCE: http://developer.apple.com/qa/qa2001/qa1067.html
WARNING: do not set the DISPLAY variable—see my post re. X11 on Leopard.