Most options in texmf.cnf of modern TeX distributions are ok for ConTeXt (in former times you had to care for ConTeXt's huge memory needs yourself and occasionally set some additional paths). The one thing left:
ConTeXt likes TeX's "write18" function enabled to run MetaPost and some other tools in the background. That's a potential security risk (malicious TeX code could run any program with your user rights), so it's off (false) by default.
shell_escape = t
Hint for MikTeX users: The counterpart to texmf.cnf was miktex.ini, now the config is stored separately for each program
Location and priority of texmf.cnf files
Assuming that you have your distribution in /usr/local/texlive/2008, the following texmf.cnf files are read (in this order) if they exist:
Variables you set in a particular file are *not* overwritten by files which are read later.
The default is (4). If you have to customize texmf.cnf, the best thing you can do is to put only the variables you want to change into (3).
(1) is quite useful for system dependent configuration. On multi-platform installations you could create a file /usr/local/texlive/2008/bin/win32/texmf.cnf on the server which contains the single line
OSFONTDIR = $SystemRoot/Fonts
and this only affects Windows clients, even if (3) contains the line
OSFONTDIR = /usr/share/fonts.