Running ColdFusion on the intel based Macs is currently not supported by Adobe. There are, however many people reporting success in getting this to work. The definitive guide to help you step through the process can be found at webmages.com. I haven't had a chance to try this yet, and I'm not sure I will. There are a few REALLY large downloads you have to get. I think the Apple developer tools is in the neighborhood of a 1Gig download.
As far as I can tell, you pretty much have no chance of an OS X version of Microsoft SQL appearing anytime soon/ever. That means that if you want to try to run it, you're going to have to use something like Parallels to run Windows on your mac. If you're going to the trouble of setting up Parallels to run windows/SQL, why not run CF, too. Is there a problem with that approach that's not obvious?