Never had a problem with a virus and I don't use virus protection. I've worked for companies that use Macs exclusively, and they didn't run any virus protection either.
Better to spend you money on a good disk utility rather than anti-virus software.
Oh, and the macro virus "protection" in Word (which is enabled by default), only shows a popup window when you try to open a document that contains macros. Not really much in the way of protection, but you really don't have much to worry about.