Because CentOS doesn’t pull all dependencies correctly, here is my little memory hook for installing phpmyadmin (and mysql, of course)

rpm -Uvh http://apt.sw.be/redhat/el5/en/i386/RPMS.dag/rpmforge-release-0.3.6-1.el5.rf.i386.rpm
yum install php phpmyadmin php-mcrypt php-mbstring mysql-server

After installing the packages, edit /etc/httpd/conf.d/phpmyadmin.conf and add the IP of your admin workstation to the line that begins with Allow from.

For using phpmyadmin with cookie auth, you have to set a blowfish secret in /usr/share/phpmyadmin/config.inc.php:

[...]
$cfg['blowfish_secret'] = 'Secret_Password';
[...]

Update: Added php-mbstring