From Angsuman's post on blog.taragana.com:

Understanding $_SERVER['PHP_SELF'], $PHP_SELF, $_SERVER['REQUEST_URI'] and $_SERVER['SCRIPT_NAME'] in PHP and when to use what. The above PHP variables have slight differences which are often ignored, often leading to problems in large scale deployments or product solutions. I have attempted to debug them for you.

He covers the simple differences between these four variables, including how they can be really useful to you and your scripts.

Thanks to PHP Magazine for the pointer...