I've been having great success with the Windows agent installation, but when I've tried to run TeamCity on my Mac (OS X 10.4), the server works just fine in Tomcat, but I can't run the Java WebStart agent install.
The WebStart install hangs at the last screen, when it asks you to verify varous properties ("Configure Agent Properties Here"). All is set correctly, but clicking the OK button does nothing.
Is this just not ready yet? I'm guessing you're concentrating on Windows development at the moment, and other OS support will come later in the cycle.