Yes, there are no viruses for OS X at this point. As you've noted, there are a few Trojans that disguise as a cracked copy of, say, Photoshop CS5: once you launch it, it has access to at least your user files and wreak havoc.
You can transmit viruses that disguise themselves as e-mail attachments to Windows computers, though. To prevent that, you can download ClamXAV, for instance, which is free.
As turtle said, you can put your iTunes library anywhere where your user has write access to. Also, it's important that you let iTunes manage the files so make sure that option is checked.