I can set the PHP include path in the php.ini:
php.ini
include_path = /path/to/site/includes/
But then other websites are affected so
Erik Van Brakel gave, IMHO, one of the best answers.
More, if you're using Apache & Virtual hosts, you can set up includes directly in them. Using this method, you won't have to remember to leave php_admin commands in your .htaccess.