No, this is very much Linux-only.
As for the Azazel rootkit, it uses LD_PRELOAD. According to the ld.so manpage[1] it is ignored for setuid/setgid executables. This looks like the behaviour is not exactly that of the Linux ld.so so perhaps this limits the rootkit's impact.
[1] http://www.openbsd.org/cgi-bin/man.cgi?query=ld.so§ion=1
http://www.openbsd.org/cgi-bin/man.cgi?query=lkm
LD_PRELOAD and friends are also ignored on linux for setuid/setgid binaries, otherwise privilege escalation would be trivial, just start any dynamicly linked setuid binary with LD_PRELOAD and go to town.