Homebrew is a new package management system for Mac OS X. A good review/tutorial on EngineYard.

Update 20-August-2010
Then method of installation below adds lots (4) extra folders to your home area making it look clutered so I now preffer this method of installation.

ruby -e "$(curl -fsS http://gist.github.com/raw/323731/install_homebrew.rb)";

Then just make sure ‘/usr/local/bin/’ and ‘/usr/local/sbin/’ are on your path.
Update End

Although I do not like the idea of changing permissions on /usr/local/, so I did:

mkdir -p ~/bin/homebrew
curl -L http://github.com/mxcl/homebrew/tarball/master | tar xz --strip 1 -C ~/bin/homebrew
ln -s ~/bin/homebrew/bin/brew ~/bin/brew

#and make sure ~/bin is on your path with soem thing like this in your ~/.bashrc
# export PATH=$PATH:~/bin

Now try it out:

$ brew --version
> 0.6
$ brew install wget
Warning: It appears you have Macports or Fink installed
Although, unlikely, this can break builds or cause obscure runtime issues.
If you experience problems try uninstalling these tools.
==> Downloading http://ftp.gnu.org/gnu/wget/wget-1.12.tar.bz2
######################################################################## 100.0%
==> ./configure --disable-debug --prefix=/Users/morgy/bin/homebrew/Cellar/wget/1.12 --disable-iri
==> make install
/Users/morgy/bin/homebrew/Cellar/wget/1.12: 7 files, 576K, built in 44 seconds

Done