Nobody says they're immune (that is a huge misconception still dominant amongst Apple squishers
) but they just don't get targeted like PCs... now Trojans, Worms etc have had a number of exploits demonstrated as proof of concepts but basically very little in the wild and closer analysis points to social engineering being the biggest threat to Mac OS X... and you can't inoculate users against stupidity...
and I do recommend the use of AV/Security software...