Of course it only works for non-terminal vim. Someone may make it work on Mac though by leveraging pb{copy,paste} in some clever way (can't remember the X11 equivalent ATM)
I believe the special + register for the system clipboard is enabled by a compile option, but that may not be entirely accurate. I have Vim 7.3 installed via Macports and it works for me.
brew install macvim --override-system-vim
to see if things improve.EDIT: it works.
[MacVim]: http://code.google.com/p/macvim/
pbcopy = xsel -bi
pbpaste = xsel -b