So far there are no viruses in the wild that affect OS X. I think some pirated versions of Apple software have viruses that can mess with your Mac.
OS X is built on Unix, which, unlike the NT base of Windows, was built with multi-user environments in mind. One way it protects you against viruses is restricting what can be downloaded and installed on your Mac. That's why nothing can be installed without you giving it permission by entering your administrator password. So a virus can't be installed without you knowing exactly what it is. If something is trying to install itself on your Mac and you don't know what it is, don't give it permission and you won't be at risk.
Even if a virus were to be installed, I believe the Unix architecture keeps it from affecting your entire system, and Lion's sandboxing feature offers even more protection. If Windows security is like having all your doors and windows shut and locked, except for one unlocked window in the back, then a Mac is like having all the doors and windows AND every door inside the house shut and locked. Even if something gets it, the problem will be isolated to one area. At least that's how it's been explained to me. I'm sure a geekier person can get more technical about it for you.
There are OTHER kinds of malware other than viruses that your Mac can get but these rely on you giving it information. If you don't know what it is, are unsure what it does, or if it didn't come from Apple's own Software Update, don't do anything with it, and you'll be ok.