'... I have received a virus on Windows that blew right by my antivirus software ...' - yes, let us remained focused with respect to Macintosh security 'holes', etc.
'A particular OS X security hole that I encountered was the piece of malicious software that was distributed on the macrumors forums a few months back.' - so where you, personally, one of the '... Several users on the board ...' who 'downloaded this' (malicious software) 'only to find out that they had been infected with some type of Trojan or virus' ?, if so, please forward me a copy of that malicious software ('latestpics.tgz').
Have you know the actual number of persons involved (infected) in the statement of 'Several users ... had been infected' ?, If so, please specify.
-----
Place any 'Finder' window in 'List View', with the 'Kind' column visible. If any file ends with a non '.app' extension; but, its 'Kind' includes 'application' or 'Unix Executable File' - think twice before double clicking on it. Think once to trash and delete it (and any associated '.hqx', '.tgz', '.gz', '.zip', etc., file).
In addition to Mikuro's suggestions ... anyone can write, and assign to their downloads folder(s), an AppleScript '
Folder Action' to test any added files 'name extension' and 'kind', and then trash the file, notify the user, etc.