Where are the OpenGL header files located on MacOSX?

They are located at /System/Library/Frameworks/OpenGL.framework/Headers. To include them, just use:

   #include <OpenGL/gl.h>
   #include <OpenGL/glu.h>
   #include <OpenGL/glext.h>
   #include <GLUT/glut.h>

etc. Make sure to link against the appropriate frameworks, eg)

cc <your_file.c> -framework GLUT -framework OpenGL 

for OpenGL and GLUT