I think OSX has a firewall built in, but that it requiers a little knowledge of Unix to set up. I have heard of a small program to help with this, but can't remember the name right now.
Almost all Unix or Unix like systems are inherently more secure than Windows out of the box, because of the way things like users are set up. You won't have to worry too much about viruses as OSX is a new operating system and is not as widespread as Windows is. This doesn't mean that you don't have to worry about security or viruses, just that it isn't anywhere near the problem it is on Windows.