In my mind the worst part of OSX vs. Windows is that Notepad isn't a native app. Notepad is freaking awesome. Having said that, TextEdit works just the same as Notepad, only not as good.
Open TextEdit. In the dialog box that opens select "New Document" (hint: it's in the bottom left corner). Type to your heart's content, then Save As (⌘+⌥+⇧+s).