The usual round of "Linux kicks <insert OS here>" but kicks in. I agree with Tony to some extent- every OS user (no matter the system you use) should be fully aware of security in all its aspects. Admittedly, OS X users can be found complacent when it comes to this topic, simply because there has yet to be a serious infiltration of the operating system. That may come at some point- and perhaps it's inevitable (and will happen in the same way it occurs for Linux ;)
What I want to take issue with Tony is your statement about a "proof of concept" trojan. Can I ask which one(s) you have tried, and what you had to do to make the "concept" apply to your machine? I ask because all of the concepts I have seen for OS X have needed the "first you need to do this; then that; then some more here; also this; and that; to get this" mechanism to work, and then only most of the time affect the account executed under. That's the Unix way really. It isn't that Unix is impenetrable (it's not as history teaches us) but it is darned hard to break without the right things being in place to do it. It's like some kind of convergence of the stars :D
Of course, being a good Mac user I take security seriously. As a Vista user too on my MBP I have anti-virus, watch what I download (just like I watch what I eat) and if passing files between systems make sure everything is as clean as I can. That's why I run ClamAV on OS X- so that I can be a good OS citizen in this world of Windows. But it would be good to know what trojans you have been looking at and how you got them working.
Just for the sake of the discussion ;-)