I don't use virus protection and I haven't had a problem. Just make sure you download security updates frequently.
In general, you can feel comfortable opening up e-mails that have viral attachments, attempting to open the files, sending the files to your friends, and taunting everyone with your computer's invincibility. Of course, there have been a maybe a couple viruses for OS X, but I don't think any that were transmitted by e-mail.
For example, there was one that masked itself as an mp3 file and would do a wee bit of damage if you opened the file, but nothing really irreversible. And there was some security problem recently, but Apple is very good about stamping everything out very quickly with security updates.
Yes, there are compromises to security once in a while, but because there are so few, Apple can respond to each quickly.
So all I can say is, "Welcome to Paradise."