There is always the lazy way – downloading the OS X package – but I'd rather use Homebrew.
I'm a big fan of "as easy as 1, 2, 3", so here are the steps:
it's always best to first update Homebrew
then tap into the list of Science formulae
brew tap homebrew/science
and last, just instruct Homebrew to install R and it's dependencies:
brew install r
In my case, there were quite a few prerequisites for R:
Also, building R from source can set you back approximately 10 minutes, depending on your machine, but now you benefit from the ease of maintenance and updates that Homebrew provides.