How do I correctly create dependencies between targets in CMake?

Since CMake 2.8.11 you can use target_include_directories. Just simply add in your DEPENDENCY project this function and fill in include directories you want to see in the main project. CMake will care the rest.

PROJECT, CMakeLists.txt:

cmake_minimum_required (VERSION 2.8.11)
project (Project)
include_directories (Project)
add_subdirectory (Dependency)
add_executable (Project main.cpp)
target_link_libraries (Project Dependency)

DEPENDENCY, CMakeLists.txt

project (Dependency)
add_library (Dependency SomethingToCompile.cpp)
target_include_directories (Dependency PUBLIC include)