Looks like direct is a little out of date:
cd ./src/showbase && make all
env MACOSX_DEPLOYMENT_TARGET=10.5 PATH="/Developer/Platforms/iPhoneOS.platform/Developer/usr/bin:/Developer/usr/bin:/usr/bin:/bin:/usr/sbin:/sbin" /Developer/Platforms/iPhoneOS.platform/Developer/usr/bin/g++-4.2 -ftemplate-depth-30 -arch armv6 -mcpu=arm1176jzf-s -isysroot /Developer/Platforms/iPhoneOS.platform/Developer/SDKs/iPhoneOS4.3.sdk -fpascal-strings -miphoneos-version-min=2.0 -c -o Opt1-OSX-iPhoneOS/p3showbase_showBase_assist.o -I. -I/Users/colinn/Projects/panda3d/direct -I../directbase -I/Users/colinn/Projects/panda3d/built/include -I/Users/colinn/Projects/panda3d/built/include -I/usr/include/python2.6 -D__IPHONE_OS_VERSION_MIN_REQUIRED=20000 -Wall -gdwarf-2 -fPIC showBase_assist.mm
showBase_assist.mm:7:27: error: AppKit/AppKit.h: No such file or directory
showBase_assist.mm: In function ‘void activate_osx_application()’:
showBase_assist.mm:17: error: ‘NSApplication’ was not declared in this scope
showBase_assist.mm:17: error: ‘YES’ was not declared in this scope