According to this article from LWN.net, you might need to be a bit wary of how you use the allow_url_fopen configuration parameter on your server. Apparently there are some remote file inclusion issues that could cause problems for calls to include or require already in your code.
An attacker's fondest wish is to be able to run their code on the target system; an RFI exploit does just that. By exploiting two very dubious 'features' of the PHP language, an attacker can inject their code into a PHP program on the server.
Basically, if the potential hacker can manage to get in on a varaible that's inside of an include and use it (in)correctly, they can get the script to jump out and run the code from their server instead of the local copy. Turning off regiter_globals will provide some protection, put poor programming and not performing any input validation can poke holes in the script's security without the need for globals.
Check out the rest of the article for more information on this (potentially) serious issue and check your code/configuration doubly to make sure you're not at risk.