http://www.godatplay.com/2009/10/how-to-run-spelunky-in-os-x/
I used this walkthrough and was able to play Spelunky with no problems. It does however end up being very small, but its a small price to pay especially since you can just zoom.
The only exception is when he gives an example of what to set your virtual desktop size too. Instead of his suggestion, keep it at 800x600.
Also, snow leopard users dont need to try and install X11.