That question really had three parts: is there any Mac spyware, are there tools to search for it, and a worry about always-on internet connections.
As far as spyware goes, I know of none. It's possible that RealOne player phones home with what you've been watching on it, and LimeWire might keep some info you'd rather it didn't, but I know of no applications that behave quite like traditional Windows spyware. Doesn't mean it won't, or can't, exist, but at the very least any application with a drag-and-drop install isn't able to modify the system to add anything evil--an admin password is needed to do that.
Checkers, none I've ever heard of, and certainly none I'd actually trust--they're sketchy enough on the Windows side of things. What I'd do instead, if you think you installed something shady, is to open up Activity Monitor and look through the list of open processes. There's a lot of unix stuff in there, but a spyware app would probably stick out if you know roughly what you're looking at. You could also watch network traffic when you're not doing anything--if you keep seeing spikes of outgoing data, then something's amiss.
Third, keep yourself patched, and you're 99% safe from hackers. If you want to be extra careful, turn on OSX's built-in firewall, which works well--the combination of up-to-date security, a good passworkd, and the firewall should take care of all but the most talented and dedicated hackers, who aren't likely to bother with your computer anyway.
