There’s a firewall built into OS X as well as the Airport routers if you use those. Little Snitch is good for monitoring outgoing connections to see if any applications are “phoning home” or connecting to the net when they have no reason to.
Anti-spyware and anti-virus options are actually pretty limited right now on OS X and the ones that do exist especially in the anti-spyware realm seem pretty gimmicky. For instance for one of the anti-spyware applications I found a web site that reviewed and recommended the best anti-spyware applications for OS X, but that site was created by one of the companies selling OS X anti-spyware software. So it seems like they were attempting to create demand for their product by spreading fear and uncertainty.
It’s not the right solution to spread the idea that OS X is totally secure though. It has serious weaknesses just like other OSes. For instance recently it was hacked in a matter of seconds through Safari and other browsers in a hacking competition.
It is true that the virus problem doesn’t exist on OS X like it does on Windows at this time, but that could change quickly and because few people have anti-virus software installed it would spread quickly and people would be left scrambling for a solution.
That said I don’t personally run anti-virus on my Mac either, but I’m not under the false assumption that I’m invulnerable to attack either. You still need to be careful about what you download and what programs you are giving your admin password to, which basically gives them total control over your computer.