If you're using a Mac, you'll already have a built-in Chinese IME ("input method editor" -- the Chinese for it, 输入法 - 'way of entering [characters]' - is a much clearer term), which you can enable by going to System Preferences >Language & Text > Input Sources and checking the box next to "Chinese - Simplified" and "Pinyin - Simplified." (Or Chinese - Traditional/Pinyin - Traditional.)

Apple's built-in IMEs in OS X have historically been woefully underpowered, especially compared to Windows-only IMEs. The latest version of OS X (Lion/10.7) improves greatly upon the native IME, but your best bet will probably still be to go with QIM (http://www.macqim.com/RegQIME.html), which shares a lot of functionality with the Windows-only Sogou IME.