What shell are you using?
There are all sorts of ugly unix text files that you have to edit to have your environment set up for every shell (Terminal) you open. It's an asinine carry-over from the 70's or earlier that to this day nobody has bothered to correct. Even OS X that managed to add a decent GUI to unix left this part alone. I think it's based on unix nerds wanting to feel that knowing how to do this arcane stuff makes them superior or something, so they pretend that a real UI isn't worth making...

See also:
http://www.macosxhints.com/article.php?story=20040715133738459&query=environment+variable