The INSTALL instructions that come with Vowpal Wabbit appear not to work on Mac OS X Lion. Here's what I did to get it to compile. You will need the developer tools that come with the XCode installation.
The only dependency VW has is the boost C++ library. So first, download and install Boost
To install Boost, do the following:
$ cp ~/Downloads/boost_1_48_0.tar.bz2 ./