In a unix environment you can set environment variables in a set up file which gets run every time you open a new shell. The file name (.bashrc, .cshrc) varies depending on the shell you use.

I don't have a Mac, but googling 'mac environment' yeilds http://mactip.blogspot.com/2004/04/setting-environment-variables.html which mentions a .MacOSX/environment.plist file.