Rule #1 is that you are going to hate your new Mac for the first 30 days. It's just the way it is, I call it Windows detox...
After that you love it so much there's no going back.
IMO you should have anti-virus software installed on your Mac, and to be honest the best piece of software out there (produced by Mac experts, not just some Mac version of a big PC title) is VirusBarrier X6. One of the biggest names in Mac security is behind it.
As for everything else, you'll see that programs don't shut down completely just by closing a window, which speed things up when you relaunch a file using the same program. The "dock" is something that you will really like, especially when you can customise it and rearrange things as you like.