If you set it in ~/.MacOSX/environment.plist (if you don't already have one you can use the developer tools GUI property list editor to create one; it should be a dictionary, the keys being the environment variables to set and the string values the . . . erm . . . values to which to set them). Next time you log in and out (not just a Finder restart; have to go through loginwindow) anything started by the OS X GUI (such as iTerm or Terminal.app) should get those values in its environment.