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.