So that's just like Windows then. No AV on this box, not needed.
I wouldn't put it quite like that.
You see, whilst OS X's heritage can be readily traced back to BSD UNIX, the same cannot be said for Microsoft Windows.
As a result, as well as being greater in number, the scope of vectors for Windows viruses are deeper too. This somewhat mandates having something running to give you a helping hand in keeping an eye out for things.
If we take the rather nifty example of the infamous Duqu. That was delivered in a Microsoft Word document (although could have easily been any other document format supporting embedded fonts, e.g. a PDF File) that used the Microsoft Windows font parsing engine as a vector for remote code execution.
This gives you an idea of just how on the ball you need to be if you're planning to run windows without AV (although admittedly, Duqu is not the best example from an AV point of view... but that's because it's said to be written somewhat more competently than your average virus).