WordPress Autoloader makes WP developers life really easy. This plugin loads automatically PHP classes. No need to wrote include scripts anymore.
You have several options to get your classes loaded automatically. The best option is to use the /lib subfolder on you plugin or theme root path, just put all files inside this direcotry and all classess are loaded automatically. The second and easiest way is to define search path for your classes. For advanced needs, the second option is to create your own __autoload method and register it.
Please read documentation for detailed instructions.