First of all, if you use OSX, turn on the Firewall built in. That's a great start.
Most of us use a Cable/DSL router, which offers Network Address Translation (NAT); currently I only have 1 computer hooked up but I still run the router for this very reason. That's a good step 2, or a great step 1 if you use OS9/Win98 etc.
If you use OSX run HenWen which is a OSX version of Snort. Snort is available for Linux/UNIX and Windows as well. It monitors your net connection and in conjunction with the included LetterStick utility, notifies you when any hanky-panky goes on. They're both free. You absolutely must read the manual to install any version of Snort.
Once you run these tools, you can decide if you need more. In general, if you aren't using your computer as a server, these are adequate for home use. If you are using the computer for business or server use, you need to explore more security options.
As for virus protection, many people get by with nothing on a Mac. Although I wouldn't recommend that, it has worked so far for many. Avoid opening attachments, avoid sending attachments you recieve via eMail to Windows users, and also avoid using MS eMail applications, if you decide you don't want to use AntiVirus SW.
Although there have been few viruses written to attack Macs, it's not exactly corrrect to say Macs are "immune" to viruses. They're not.