I've said it before, but after this story from Computerworld, I'll say it again: your Mac can't stop you from downloading and running malware*. This time it's video codecs from Russian websites. "For helping you play diss videos our vebsite, download diss program and it help you."
These days, as long as the website looks reputable you're pretty much okay. That may not be the case forever, though, so make sure you're being careful. "But hey, how am I supposed to know what a reputable web site looks like?!" Here are the websites for a few of my favorite Mac apps: Firefox, Keyboard Maestro, MarsEdit, CSSEdit, Transmit, 1Password, BBEdit, Delicious Library, Google Earth, MacTracker, and Adobe Photoshop.
* "Malware" is not a virus. Viruses self replicate, often without the user even knowing. Viruses are rampant on Windows. Malware, on the other hand, is a program that does bad stuff that the user installs willfully, usually because the they think it's a game or free software.