Actually, a common misconception is that there are freefloating viruses for Macs, which is actually false from what I've gathered from a few different sources (though that was a few years ago). Now, that doesn't mean they don't exist, but the characteristics of a "virus" is one that duplicates and infects other files, something no known malware for Mac currently does, possibly because the way Mac sandboxes apps. If one exists, it's in private use somewhere. Basically, it hasn't been publicly uploaded anywhere where you might stumble upon it.
But malware for Macs definitely exists, no need to question that.
Though from my experience, it's not much of a worry. I remember I used to use my Mac for 1 year without any antivirus software, and when I finally decided to get one, it found nothing and everything acted the same for the next year when I DID use the antivirus. Perhaps I didn't download enough shady software, eh?
But better safe than sorry though. It's good to be aware of the dangers of the online world, like IIPEE said. You should be fine as long as you have
something for Windows though, even just
MSE (Microsoft Security Essentials) is good enough.