There is a nice FAQ on R for Mac OS X users which is frequently maintained and updated regularly. It can be found here: http://cran.r-project.org/bin/macosx/RMacOSX-FAQ.html
The ‘bin/macosx’ directory of a CRAN site contains binaries for OS X for a base distribution and a large number of add-on packages from CRAN to run on OS X 10.5/6/7.
The simplest way to install R on Mac is to use ‘R-2.15.1.pkg’: just double click on the icon.