Do you mean can spyware be installed without your knowledge? It's conceivable, but AFAIK there have never been any such cases.
No matter what system you're on, there's always going to be the potential for trojan horses, which are applications that pretend to do something innocent, but really do something nefarious. Like I said, there are no examples of such programs on OS X that I know of, but the potential is, has been, and will always be there.
Just be careful what you download. Sites like macupdate.com and versiontracker.com are your friend: if a program is listed there, it's most likely legit, so don't worry too much.