_Late answer_

## How to include your files the right way:

    function wpse1403_bootstrap()
    {
    	// Here we load from our includes directory
    	// This considers parent and child themes as well    
    	locate_template( array( 'inc/foo.class.php' ), true, true );
    }
    add_action( 'after_setup_theme', 'wpse1403_bootstrap' );

The same works in plugins too.

## How to get the right path or URi

Also take a look at file system API functions like: 

* `home_url()`
* `plugin_dir_url()`
* `plugin_dir_path()`
* `admin_url()`
* `get_template_directory()`
* `get_template_directory_uri()`
* `get_stylesheet_directory()`
* `get_stylesheet_directory_uri()`
* etc.

## How to reduce the number of `include/require`

If you need to fetch _all_ files from a directory go with 

    foreach ( glob( 'path/to/folder/*.php' ) as $file )
        include $file;

Keep in mind that this ignores failures (maybe good for production use)/not loadable files.

To alter this behavior you might want to use a different config during development:

    $files = ( defined( 'WP_DEBUG' ) AND WP_DEBUG )
        ? glob( 'path/to/folder/*.php', GLOB_ERR )
        : glob( 'path/to/folder/*.php' )
    
    foreach ( $files as $file )
        include $file;

## Edit: OOP/SPL approach

As I just came back and saw that this answer is getting more and more upvotes, I thought I might show how I'm doing it nowadays - in a PHP 5.3+ world. The following example loads all files from a themes subfolder named `src/`. This is where I have my libraries that handle certain tasks like menus, images, etc. You don't even have to care about the name as every single file gets loaded. If you have other subfolders in this directory, they get ignored.

The `\FilesystemIterator` is the PHP 5.3+ _supercedor_ over the `\DirectoryIterator`. Both are part of the PHP SPL. While PHP 5.2 made it possible to turn the built in SPL extension off (below 1% of all installs did that), the SPL now is part of PHP core.

    <?php
    
    namespace Theme;
    
    $files = new \FilesystemIterator( __DIR__.'/src', \FilesystemIterator::SKIP_DOTS );
    foreach ( $files as $file )
    {
    	/** @noinspection PhpIncludeInspection */
    	! $files->isDir() and include $files->getRealPath();
    }

Previously while I still supported PHP 5.2.x, I used the following solution: A `\FilterIterator` in the `src/Filters` directory to only retrieve files (and not dot pointers of folders) and a `\DirectoryIterator` to do the looping and loading.
    <?php
    
    namespace Theme;

    use Theme\Filters\IncludesFilter;
    
    $files = new IncludesFilter( new \DirectoryIterator( __DIR__.'/src' ) );
    foreach ( $files as $file )
    {
    	include_once $files->current()->getRealPath();
    }

The `\FilterIterator` was as easy as that:

    <?php
    
    namespace Theme\Filters;
    
    class IncludesFilter extends \FilterIterator
    {
    	public function accept()
    	{
    		return
    			! $this->current()->isDot()
    			and $this->current()->isFile()
    			and $this->current()->isReadable();
    	}
    }

Aside from PHP 5.2 being dead/EOL by now (and 5.3 as well), there's the fact that it's more code and one more file in the game, so there's no reason to go with the later and support PHP 5.2.x.

## Summed up

**EDIT** The obviously correct way is to use `namespace`d code, prepared for [PSR-4](http://www.php-fig.org/psr/psr-4/) autoloading by putting everything in the appropriate directory that already is defined via the namespace. Then just use [Composer](https://getcomposer.org/) and a `composer.json` to manage your dependencies and let it auto-build your PHP autoloader (that imports automatically a file by just calling `use \<namespace>\ClassName`). That's the de-facto standard in the PHP world, the easiest way to go and even more pre-automated and simplified by [WP Starter](https://wecodemore.github.io/wpstarter).