The malware threat on Mac OS X is infinitesimally small, but it does exist. The biggest threat so far seems to come from trojans that attempt to disguise themselves as legitimate software updates or installers. Though it's not mentioned anywhere in the extensive list of enhancements and refinements on Apple's website, it turns out that Snow Leopard does have some level of protection against such malware.

Security firm Intego turned up the feature, which seems to be an enhancement of the usual "This file is from the Internet, are you sure you want to open it?" warning. If a disk image or installer package contains known malware, Snow Leopard will warn that it can damage your computer. If you don't choose to open the installer anyway (and we recommend you don't), the offending file will be automatically moved to the Trash. Intego hasn't been able to identify exactly how the mechanism works, but several MacRumors forum members confirmed that it does identify known trojans.

Chances are this functionality won't protect against unknown attacks, and it's not clear exactly how Apple might protect against new trojans (yes, new malware definitions would come via Software Update, but when? how often?). The feature also doesn't seem to be as extensive as third-party antivirus software, but we don't know a lot of details at this point. Still, it is an extra safety net to keep you from being the victim of a social engineering hack.