The #import directive was added to Objective-C as an improved version of #include. Whether or not it's improved, however, is still a matter of debate. #import ensures that a file is only ever included once so that you never have a problem with recursive includes. However, most decent header files protect themselves against this anyway, so it's not really that much of a benefit.
Basically it's up to you to decide which you want to use. I tend to #import headers for Object-C things (like class definitions and such) and #include standard C stuff that I need. For example, one of my source files might look like this:
#import <Foundation/Foundation.h>
#include <asl.h>
#include <mach/mach.h>