They often share vulnerabilities with core libraries in other UNIX like systems with samba and java being two examples.
Good thing that Lion jettisons both (Samba for going GPLv3, and Java is non-core download)
The firewall functionality in OS X is impressive, but hardly utilized. The underlying technology is ipfw
Also changed in Lion, which now uses OpenBSD's pf. Apple doesn't make much more use of it though.
It has been a shame to see the sandboxing functionality introduced in Leopard not being utilized to anywhere near its full capacity.
That's changed as well in Lion, as any Mac App Store developer can tell you.