Constants can be handy when used correctly. Unfortunately, there's some small issues you might want to watch out for. Ben Ramsey discovered one while working with another's code - an undefined constant acting like a string.
From the I-noticed-this-one-day-while-looking-at-a-co-worker's-code department comes a tale about the use of undefined constants in PHP'"and relying on this twisted "feature" to make an application function properly.
He relays a little story about the errant code and noticed the constant that wasn't defined and how PHP was treating it like a string. After searching the manual, though, he finds a reference related to the situation showing that it will only throw an E_NOTICE when this happens.
Ben's suggestion is for a bit more than that - at the very least an E_WARNING. Having it down at E_NOTICE won't be seen by most with the default php.ini, and he gives an example as to why it's a bad thing (passing this string/constant into a function and how it handles it).