This comment applies to malicious software ("malware") that's installed unwittingly by the victim of a network attack. It does not apply to software, such as keystroke loggers, that may be installed deliberately by an attacker who has hands-on access to the victim's computer. That threat is in a different category, and there's no easy way to defend against it. If you have reason to suspect that you're the target of such an attack, you need expert help.
All versions of OS X since 10.6.7 have been able to detect known Mac malware in downloaded files. The recognition database is automatically updated once a day; however, you shouldn't rely on it, because the attackers are always at least a day ahead of the defenders. In most cases, there’s no benefit from any other automated protection against malware.
Starting with OS X 10.7.5, there has been another layer of built-in malware protection, designated "Gatekeeper" by Apple. By default, applications and Installer packages downloaded from the network will only run if they're digitally signed by a developer with a certificate issued by Apple. Software certified in this way hasn't actually been tested by Apple (unless it comes from the Mac App Store), but you can be sure that it hasn't been modified by anyone other than the developer. His identity is known, so he could be held legally responsible if he distributed malware. For most practical purposes, applications recognized by Gatekeeper as signed can be considered safe.
Note, however, that there are some caveats concerning Gatekeeper:
It can be disabled or overridden by the user.
It can be bypassed by some third-party networking software, such as BitTorrent clients and Java applets (see below.)
It only applies to software downloaded from the network. Software installed from a CD or other media is not checked.
That being said, the best defense against malware is your own intelligence. All known malware on the Internet that affects a fully-updated installation of OS X 10.6 or later takes the form of so-called "trojan horses," which can only have an effect if the victim is duped into running them. If you're smarter than the malware attacker thinks you are, you won't be duped. That means, primarily, that you never install software from an untrustworthy source. How do you know a source is untrustworthy?
Any website that prompts you to install a “codec,” “plug-in,” or “certificate” that comes from that same site, or an unknown one, is untrustworthy.
A web operator who tells you that you have a “virus,” or that anything else is wrong with your computer, or that you have won a prize in a contest you never entered, is trying to commit a crime with you as the victim. (Some reputable websites did legitimately warn users who were infected with the "DNSChanger" malware. That exception to this rule no longer applies.)
“Cracked” copies of commercial software downloaded from a bittorrent are likely to be infected.
Software with a corporate brand, such as Adobe Flash Player, must be downloaded directly from the developer’s website. No intermediary is acceptable.
Follow these guidelines, and you’ll be as safe from malware as you can reasonably be.
Never install any commercial "anti-virus" or "Internet security" products for the Mac, as they all do more harm than good. If you need to be able to detect Windows malware in your files, use the free software ClamXav — nothing else.
Why shouldn't you use commercial "anti-virus" products?
Their design is predicated on the nonexistent threat that malware may be injected at any time, anywhere in the filesystem. Malware gets into the system by being downloaded, not by materializing from nowhere.
In order to meet that nonexistent threat, the software duplicates low-level functions of the operating system, which is a waste of resources and a common cause of instability and poor performance.
By modifying the system at a low level, the software itself may create vulnerabilities that could be exploited by malware attackers.
ClamXav doesn't have these drawbacks.
It's a common misconception that the built-in Application Firewall offers some kind of protection from malware. It doesn't. You should not enable it if you're behind a router on a private home or office network. Use it only when you're on an untrusted network, such as a public Wi-Fi hotspot, where you don't want to provide services such as file sharing.