LOL +1. also you should look into norton.com or mcafee.com and type in any sites your unsure of and see if its safe (dunno how accurate these scans on the sites are tho...but worth a shot rather then going in blind). but from what i believe, mac os x doesn't have any viruses in the wild etc. so i'm sure even going to some sketchy sites on the web, you'll be fine.
This is like asking if your car engine will heat up if you drive down the road. Sure it will, but how are you driving? Like at the Indy 500 or like Grandma?
In general because they aren't cared about or properly maintained and get filled with applications and lots o data.
During www surfing, the sites might need CPU power to run CPU intensive content, like Flash for example.
* The World Wide Web is a service and a part of the Internet, thus one does not browse the Internet, one browses the WWW.