What are the risks of connecting a MacBook to an insecure wireless network? What privacy and security risks am I exposing myself to when I connect my MacBook to an open insecure wireless network?

Are there any risks that are worse or better when compared to a Windows PC that's connected 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.