You completely missed the point. The problem is not the missing DISPLAY (you can send your X packets to anywhere you like, including :0.0), the problem is the missing *AUTHORITY* to connect to the specified X server (in this case, :0.0). You can set DISPLAY until you're blue in the face if the X server tells you to get stuffed. And it will (on any decent setup).
su only changes your effective user ID but doesn't deal at all with any X stuff. sux is designed to do an su *as well* as carrying over the X connection authority and setting your DISPLAY.
No, as Oliver said if you use RH (and I presume many other distros *excluding* debian) su does deal with both DISPLAY and AUTHORITY via the pam_xauth.so PAM module. Debian definatly do not use this module and I find it's one thing I really miss when using a debian desktop. I tend to ssh -X root(a)localhost on a debian box if I want to keep the authority and display working correctly. The xauth module seems to tidy this up somewhat. It has been installed by default for su on RH since at least 7.1 and means that if you su to root, all authority and displays will be preserved. Jamie