Why can't I run `su`? (and how should I do?) Whenever I try to issue su I get this:  

$ su  
Password:  
su: Sorry


Needless to say, I'm entering the correct admin password which does work with sudo. What I want is not having to enter sudo each time.
In MacOS X, the root user is disabled by default, therefore su will not work. As others have stated, it's best to use sudo. 

If you must enable the root user, see Apple's technote: Enabling and using the "root" user in Mac OS X.