You're right that there are no viruses (at least if you specify differences between virus, worm, and trojan horse, and others) for Mac OS X. There were some back in the 1990's on the classic Mac OS, but that was actually almost a completely different operating system, and those do not work in any fashion on modern computers.
Because Mac OS X (like most operating systems) assumes the user wants to be able to install and run applications, it is possible to write a trojan horse. Anyone could write a program that deletes all files owned by the user when run by the targeted user. It would literally take almost no time to create such a thing, for almost any operating system. There's the old UNIX joke about the virus spread by the honor system, where the user must manually type "rm -rf" (don't do it!) to delete all the files they own. The first and best solution is to NOT run programs from untrusted sources.
Now, Mac OS X has fewer pieces of malicious software for several reasons. The first is that it is more difficult to write viruses and worms (that seek out remote machines to attack) for multiple reasons:
(1) Mac OS X is based on UNIX (and Leopard is, in fact, officially UNIX), which has been analyzed by many people who have access to the source code, especially since the underlying source code for much of the low-level parts of Mac OS X is open source.
(2) Mac OS X, by default, has most ports closed which makes it less susceptible to remote attacks, rather than coming with many ports open, as Windows has in the past.
(3) Many of the remote services that can be activated on Mac OS X are open source software projects, and are very well vetted for security (although Apple does not always update them for security as quickly as it should).
(4) User-level security is better managed on Mac OS X, without the annoying Allow/Cancel of Vista. It is harder, though not impossible, theoretically, for a malicious program to access the operating system itself, especially if the user is not logged in as an Admin.
(5) MAYBE: The level of skill required to create malicious software for the Mac is higher, and there are fewer people who have that skill, and the people who do have more legitimate ways of making money. This MIGHT loosely tie into the "security through obscurity" theory that people carelessly throw around when they don't know about all the factors I mentioned above. That theory cannot explain the almost complete lack of any malicious software for Mac OS X, especially since there are around 25 million Macs in use, and platforms with a smaller user-base have seen viruses and other malicious software.
In addition to it being more difficult, there is somewhat less incentive to create malware for Macs, since there are fewer, BUT there are not NONE, which is how much malware there is. It is a combination of the (greatly) increased difficulty and the smaller user-base that has resulted in ZERO viruses, and only one or two pieces of malware. There have been security vulnerabilities that theoretically could have resulted in malware, but the architecture of Mac OS X makes exploiting vulnerabilities difficult, and because much of the OS is open source, it is harder for a hacker to know about a vulnerability and keep it a secret while building an exploit - generally the "good guys" find them first and Apple fixes them.
One thing to remember: Mac OS X can be hacked if you combine the following foolish behaviors: (1) don't have a firewall, (2) have remote access turned on, and (3) use a single dictionary word as your password. Believe it or not, I knew a company that had a bunch of Macs set up in that way (all with SAME single-word password), and some hacker threw a dictionary at them and got root access, installing phishing sites on them. If they had used a more difficult password, they probably would have been fine. The firewall would make them even safer, obviously.
All of the above is a long way to say: Mac OS X is currently safer, and probably will remain that way for the forseeable future, but you still want to practice safe computing. Have good passwords, use proper security methods like firewalls, and don't trust strangers.
Good luck in whatever decisions you make.