Follow these rules and you'll have nothing to worry about:
1. Before you install any software downloaded from the Internet, make sure you trust the source of the software. Also, make sure you know what the program is and what it does.
2. If you install any software download from the Internet, be particularly cautious about installing it if you are prompted for your password during the installation (this means that the software wants to modify system directories or files).
3. Turn on your OS X firewall in the Security preferences pane. Go into Advanced and enable "Stealth Mode". This makes your computer invisible on any network you might happen to connect to, and therefore will make it that much more difficult for a motivated hacker to locate to do any damage to.
4. Keep your software and operating system up-to-date. When prompted to update a software package, particularly things like Java, Flash and other web-enabled technologies.
There are only two pieces of malicious software for Mac OS X, both are classified as Trojans (not to be confused with viruses). One is known to accompany a pirated version of iWork '09, the other is disguised as a fake video player app that is mostly distributed on disreputable sites (pornographic).
So, just apply a bit of common sense and you'll have nothing to worry about.