Little snitch is worth every penny. It tells you everything you want to know about what a given program is trying to do on the internet and lets you STOP it from happening.
If you are on a network with windows machines, make sure they have good AV and you don't need to worry.
Macs are immune to any windows virus out there, so protect your windows machine, and you're golden.
...and to the guy who said to use spybot and ad-aware every 6 MONTHS on a pc.... that's WAY too long to wait... Every week or 2 weeks maybe, especially if you use Internet Exploder.
I'm just glad I switched...