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:

1. it's always best to first update Homebrew
   
   brew update

2. then tap into the list of Science formulae
   
   brew tap homebrew/science

3. 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: gmp, mpfr, libmpc, isl, cloog, gfortran, jpeg, libtiff.

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.