I'm a fan of Homebrew. Once you have it installed, you can just do
brew install node
then install npm with
curl http://npmjs.org/install.sh | sh
then use it to install CoffeeScript with
npm install -g coffee-script
If you don't have Homebrew or don't want to bother with it, replace the first step with going to http://nodejs.org/, clicking "Download," and running the latest installer for OS X. No command line wizardry required.
Update: Since this answer was posted, several things have changed. One is that Homebrew includes npm, so you don't need to install it separately (and if you do, you need to use https://
). Another is that I would recommend using nvm to install Node rather than Homebrew, since you'll likely want to use different Node versions for different projects at some point and swapping out brew versions is no fun.