OS X now includes a built-in Firewall. The Firewall will help keep your system safe from hackers, especially on unknown networks. This video tutorial shows you how to enable the OS X application firewall and configure it for proper use.
Learning OS X
Making the switch to OS X easy
Its nice to find a Mac-related blog with a security section (I found you via DP).
Too many people think that the Mac and OSX/Snow Leopard are inherently totally secure but that, alas, is simply not true.