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Setting CFLAGS environment variable do not show up in the build process,
the gcc flags do not include the CFLAGS flags.

This depends on the version of Make used. See the man page for Make.

In all versions of make, "make CFLAGS=..." should work fine (although
that's not an environment variable).

I'll try to be clearer:
`./configure --help` states (at the end):
 Some influential environment variables:
 CC C compiler command
 CFLAGS C compiler flags
 LDFLAGS linker flags, e.g. -L<lib dir> if you have libraries in a
 nonstandard directory <lib dir>
 CPPFLAGS C/C++ preprocessor flags, e.g. -I<include dir> if you have
 headers in a nonstandard directory <include dir>
 CPP C preprocessor
 Use these variables to override the choices made by `configure' or
to help
 it to find libraries and programs with nonstandard names/locations.
What I've tried to do is compile Python with gprof, adding the -pg flag.
So I ran `CFLAGS=-pg ./configure`, the resulting Makefile did not
contained the -pg in the CFLAGS (or OPT) variables.
Using `make CFLAGS=XXX` will override the CFLAGS definition in the
Makefile, I just want to add to it.

I think you misunderstand. Passing a variable to configure makes that
setting have effect *during the configure run*.

OK, let's close it then.
(However note that in two projects I've checked - vim and pcre the
CFLAGS environment variable do get reflected in the build process)
Any "standard" way to add custom compilation flags?.

> Any "standard" way to add custom compilation flags?.
Beats me. I'm no autoconf expert.

> Any "standard" way to add custom compilation flags?.
See the README. Set OPT to influence the optimization flags;
set EXTRA_CFLAGS otherwise.