No. Although disabled when you buy it, OS X has a built-in firewall that you can easily turn on should you need to. You would only need to if you were connecting to public Wi-Fi networks like at Starbucks. AV protection is also built-in to OS X.
Helpful Links Regarding Malware Protection
An excellent link to read is Tom Reed's Mac Malware Guide.
Also, visit The XLab FAQs and read Detecting and avoiding malware and spyware.
See these Apple articles:
If you require anti-virus protection I recommend using ClamXav.
ROFL @ "square wheels"
Mojo,....the only thing that acts "like a virus" on a Mac (in hyperbole) is the strange "antivirus" applications.
Most here recommend ClamXaV anti-virus for your Mac for that - "just in case pigs fly and the sky falls" occurrence.