It is true that no security architecture is perfect. There have been dozens of vulnerabilities found for OS X, and there doubtless will be more in the future. OS X has (present tense) security vulnerabilities nobody knows about.
What OS X has in its favor is a more compartmentalized approach than Windows. What goes on in one user account usually stays in that user account. A vulnerability in a network service is usually restricted to that service, and disappears if the service is disabled. Majorly stuff up is usually the exclusive privelage of admin users.
Registry/NetInfo is a good exampe. The Registry is used by everything: Apps, drivers, and the OS. All the eggs, one basket. NetInfo is just for network services (hence the name.) One rougue user-space application can't touch NetInfo without admin privelages. True, if an active network service is compromised, you're hosed; that's the risk any internet connected computer faces.
Being skeptical is a good policy, but that goes for any OS. Don't run as admin. Don't run apps you don't trust. Turn off unneeded network services. Keep your firewall on; better yet, use a seperate hardware firewall. Update often. Encrypt sensitive files. Add layers and compartmentalize.