In OS X you can either use Glimmer Blocker to block a website, or you can set up a parental control-enabled account and block that website for it. There's probably other ways through third party applications and other in-system stuff.
I really don't mess with parental controls outside of where I work, and work only on lower privileged accounts. Not much experience of blocking stuff on my own account, except for a couple websites I don't want to access, and I used Glimmer Blocker for that. =p