Well, my number one defense has always been (regardless of operating system) to (a) not visit shady websites, (b) adblock, and (c) don't open email attachments from untrusted senders.
I've been using the free version of Sophos (http://www.sophos.com/en-us/products/free-tools/sophos-antiv...) on my MacBook for a year or two now, and haven't seen any problems yet. I'm not sure if that means it works, or if I just haven't caught anything yet.
1) Run the latest version of the OS and browsers, and check for updates often.
2) Run as a "normal" user account--not an admin.
3) Disable all auto-opening of so-called "safe" files.
4) Disable Java browser plugin entirely.
5) Configure browser to not load Flash or other plugin content unless I click to authorize it. Might require an extension like ClickToFlash in some browsers.
6) Be cautious. Stay away from sketchy sites and don't open emails and/or attachments that seem random, unexpected, or suspicious.
Something I've always wondered - if you use Parallels or VMWare to visit questionably risky sites in a VM, and only used that VM for that usage, wouldn't that essentially isolate the rest of your machine from exposure from any malware?
I've been using the free version of Sophos (http://www.sophos.com/en-us/products/free-tools/sophos-antiv...) on my MacBook for a year or two now, and haven't seen any problems yet. I'm not sure if that means it works, or if I just haven't caught anything yet.