I've been running Windows on my Intel Macs for quite a while now--I have Parallels, VMWare Fusion, CrossOver, and Boot Camp installed on two machines. Across all those installations, I've never done anything to protect my Windows installs from viruses and malware, other than using Windows XP Pro's built-in tools: the malicious software removal tool and the firewall. I wanted to see if Windows really was as susceptible to attack as everyone was claiming it was.
Yes, it was. I wrote about what happened for Macworld, as it was a most eye-opening experience for me--this particular Windows install hadn't done anything more "risky" than surf to a few well-known download sites, looking for some iPhoto-type applications for the PC. If this is the risk a Windows user faces every day if their machine isn't fully armored against outside attacks, I must ask...why do people choose to use this OS on a regular basis? It also made me quite thankful I've never worried about such things in all my years of Mac usage.