creating a global variable.

Hi all, maybe i'm being thick, but I cant figure out how to create a global variable! I know how to do it in php...with the global keyword and all (or the $GLOBALS array). But where do i declare and initialize the variable in drupal!?!? I'm going crazy! I tried declaring and initializing my variable in index.php, settings.php, template.php, page.tpl.php... and then when i refer to it later in a function it is unset! what am i doing wrong?