Contrary to what Geeks on Hugs is telling you, Mac OS X does indeed have a basic malware scanner. It is not a feature that is directly accessible to the user, and works a bit differently than every other malware scanner out there. Gatekeeper, which has been mentioned here, is entirely separate, and provides a different method for helping to protect you against malware.
The anti-malware scanner in Mac OS X is called XProtect. When you download an application (or any other kind of executable code), it is automatically "quarantined," so that when you open it you're asked if you really want to do that. I'm sure you're very familiar with this aspect of Mac OS X if you have ever downloaded any apps from outside the App Store. What you don't know, though, is that each time you try to open a new app, that app is checked by XProtect. If it is identified as malware, you will not be allowed to open it, and will be warned that it's malware.
At this time, there is no known malware that can infect a properly up-to-date Mac. All current malware will be blocked by one or more methods.
For more information, see my Mac Malware Guide.
(Fair disclosure: I may receive compensation from links to my sites, TheSafeMac.com and AdwareMedic.com.)