I want to compile C++ code on MacOS X, using the g++ compiler. How do I install it?
That's the compiler that comes with Apple's XCode tools package. They've hacked on it a little, but basically it's just g++.
You can download XCode for free (well, mostly, you do have to sign up to become an ADC member, but that's free too) here: http://developer.apple.com/technology/xcode.html
Edit 2013-01-25: This answer was correct in 2010. It needs an update.
While XCode tools still has a command-line C++ compiler, In recent versions of OS X (I think 10.7 and later) have switched to clang/llvm (mostly because Apple wants all the benefits of Open Source without having to contribute back and clang is BSD licensed). Secondly, I think all you have to do to install XCode is to download it from the App store. I'm pretty sure it's free there.
So, in order to get g++ you'll have to use something like homebrew (seemingly the current way to install Open Source software on the Mac (though homebrew has a lot of caveats surrounding installing gcc using it)), fink (basically Debian's apt system for OS X/Darwin), or MacPorts (Basically, OpenBSDs ports system for OS X/Darwin) to get it.
I'm less familiar with how MacPorts works, though some initial cursory investigation indicates they have the relevant packages as well.
Installing XCode requires:
To install g++ *WITHOUT* having to download the MASSIVE 4.7G xCode install, try this package:
The DMG files linked on that page are ~270M and much quicker to install. This was perfect for me, getting homebrew up and running with a minimum of hassle.
The github project itself is basically a script that repackages just the critical chunks of xCode for distribution. In order to run that script and build the DMG files, you'd need to already have an XCode install, which would kind of defeat the point, so the pre-built DMG files are hosted on the project page.