To be honest, this basically gets into a debate/argument that will likely never be settled. I am not sure it is really ever possible to know which OS is technically more secure (just too many variables and in the end it will ultimately come down to a "decision" that is heavily influence/dictated by opinion).
Now, the thing that is known is that AT THE MOMENT there are far fewer "exploits" (malware/viruses/trojan horses/etc) out in the "wild" for the Mac OS then they are for Windows.
This does NOT mean that the Mac OS is necessarily more secure than Windows. To a large degree, since there are fair fewer Macs out in the world than Windows machines, makers of malware, etc don't get as much potentially "bang for their buck" by targeting Macs as opposed to targeting Windows. Thus, many such folks likely deliberately choose to target Windows because of that. And we cannot really know how much that drives things as opposed to how secure one OS is relative to another.
At the end of the day, the reality is that AT THE MOMENT malware/virus/trojan horses/etc are less of concern on a Mac than on a Windows machine. In other words, you are much less likely to get infected on a Mac than on a Windows machine.
This does not mean that you should not "be protected" on a Mac. I have long run anti-malware/virus software on all my Macs, while many Mac folks said it was not needed. I treat my Macs much like I treat my Windows machines in this sense.
At the end of the day, you need be just as careful on a Mac as your are on a Windows computer even if you are less likely to get infected. No matter the OS, you should practice "safe computing" (i.e. don't click unknown links in email message from unknown sources, etc).