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 ./
$ tar xfj boost_1_48_0.tar.bz2
$ cd boost_1_48_0
$ ./bootstrap.sh # Install defaults to /usr/local
$ sudo ./b2 install
To install VW, do the following:
$ git clone https://github.com/JohnLangford/vowpal_wabbit.git
$ autoreconf --force --install # Options copy any needed autoconf files to local
$ ./configure
$ make
$ make install
$ vw --help