One of the problems with malware detection/antivirus utilities are that they often rely on distribution of signature files to defend against infections. So the malware can infect your machine if it beats your antivirus utility to the punch. One rough and ready way to defend yourself is to set your system up to notify you if files are added to certain folders such as LaunchAgent/LaunchDeamon folders.

Shipped with our Mac systems are some neat scripting tools we can use to help with tracking unwanted files being added to our systems. I have enabled Folder Actions and attached a script (which is supplied by Apple with the OS X installation) to a few of my folders that will notify me if anything is added to them. The folders that seem most critical to me are:

~/Library/LaunchAgents
/Library/LaunchAgents
/Library/LaunchDaemons
/System/Library/LaunchAgents
/System/Library/LaunchDaemons

The name of the script I have added is "add - new item alert.scrpt" and it simply notifies me if it sees that a file is added to an assigned folder. After notification I can decide what I want to do. If i was installing some software, then it is probably fine. If I was just browsing the web, maybe something fishy is going on.

You can use your favorite search engine to find instructions for utilizing OS X's Folder Actions in general and for installing this particular script.