What are the risks of connecting a MacBook to an insecure wireless network?

The primary concern is that any HTTP communications (and other non-secured communications) could be intercepted, including cookies, which often contain your login information. Note that secure communications (HTTPS) have other methods to keep your information safe, so financial communications are usually safe.

The secondary concern is that your Mac can be directly attaqued by any other computer within a 50 m radius. If your Mac doesn't have its firewall on, then this attack may lead to some file access (through guest account), and some remote control (through Apple Remote Desktop, VNC or more secret system vulnerabilities).

This security risk exists equally whether you are using OS X, Windows, Linux, or any other operating system, and there are no additional risks (nor less) on any platform.

Just because we're rocking a very secure OS, doesn't mean viruses, malware and the like can't happen. Be vigilant, all the time. It is a misconception that you are not prone to virii. Basically: all the same risks as if you connected a PC laptop to an insecure wireless network. Just with a lower probability of getting attacked.