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When configuring Python with an explicit --includedir
most of the header files do turn up in this directory.
 But the pyconfig.h is still placed in $(prefix)/include.
I assume it is a bug, and this file too should be
placed according to --includedir.

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Actually, pyconfig.h is placed in $(exec-prefix)/include.
This is fine as the file is architecture dependant.
However the other header files use a local
#include "pyconfig.h"
which will not match if it's not the same dir. If you like
me want a common directory for all archindependant files and
then separate for each arch it causes additional headache,
since there's no easy way for me to symlink from the arch
include/ dir to the archindependant, as they have a common
subdir (python2.3/ in my case).
Currently it seems I'll have to symlink each header file
individually from the archindependent dir to the arch ones.
Ideally pyconfig.h would be put directly in
$(exec-prefix)/include/ and be refered to as <pyconfig.h>. I
could then just symlink the subdir.
Whether to honor includedir or not I don't know, I'll leave
that problem to the project.

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I don't think I will do anything about this anytime soon, so
unassigning myself.

I'm able to reproduce the bug with 2.6

Is this still a problem, sorry I don't have a box to test it on?

I tried by building Python 3.1.2 with the configuration
... --prefix=$home/ptest --includedir=$home/ptest/myspecialincludedir
pyconfig.h still wound up in $prefix/include/python3.1, while all other header files were correctly placed in $prefix/myspecialincludedir/python3.1.
So yes, it is still a problem.

I found the reason for the issue. pyconfig.h is installed to CONFINCLUDEPY. The other header files are copied to INCLUDEPY
INCLUDEDIR= @includedir@
CONFINCLUDEDIR= $(exec_prefix)/include
INCLUDEPY= $(INCLUDEDIR)/python$(LDVERSION)
CONFINCLUDEPY= $(CONFINCLUDEDIR)/python$(LDVERSION)
 @for i in $(srcdir)/Include/*.h; \
 do \
 echo $(INSTALL_DATA) $$i $(INCLUDEPY); \
 $(INSTALL_DATA) $$i $(DESTDIR)$(INCLUDEPY); \
 done
 $(INSTALL_DATA) pyconfig.h $(DESTDIR)$(CONFINCLUDEPY)/pyconfig.h

Patch attached to set CONFINCLUDEDIR to --includedir. There's additionally some hardcoded assumptions in sysconfig and distutils.sysconfig about the include paths, of which this patch fixes some.
What it doesn't address is sysconfig.get_path with 'include' or 'platinclude'. There 'include', however, were already broken if python was configured with --includedir ('platinclude' was correct because it was hardcoded, and pyconfig.h always installed to the same place). I think those should also be fixable by getting the correct directories from _sysconfigdata instead of hardcoding possible 'installation schemes' and trying some de-facto paths based on those. I suspect this is also a problem for library paths, but this issue is only concerned with includedir.
I suspect the problem that 'CONFINCLUDEDIR' was trying to solve is separating platform-dependent headers from platform-independent ones, but it doesn't actually solve that problem correctly: pyconfig.h does not go in --includedir AND the hardcoded include path for pyconfig.h doesn't go in "python-config --includes" output.