Shell

They are set generally with the shell. See Bash - (Environment) Variable

PAM

pam permits also an admin to set environment variable: See pam-env

The file used to set the environment variable are the below one:

• /etc/security/pam_env.conf: Default configuration file - When someone logs in, this file is read and the environment variables are set according.
• /etc/environment: Default environment file - simple KEY=VAL pairs on separate lines
• HOME/.pam_environment: User specific environment file