I want to use PHP on my Mac.
If I were using Windows I would install WAMP server, but I'm not familiar with how to use PHP on Mac OS X. What kind of software should I use for installing/running my php developed sites locally on my Mac?
MAMP is the equivalent of WAMP for Mac OS X.
PHP comes pre-installed in Mac OS X. It's not perfect for everyone (as it may or may not have the extensions you wish). To enable it (PHP 5.3 on Snow Leopard) you need to enable it in Apache 2's configuration file (Uncomment the php5.so module).
Applications such as MAMP provide a separate installation of the *AMP stack that work on Mac OS X.
Alternatively if you want to install other versions of PHP on your Mac you can either use MacPorts or compile it yourself.
From the way you are wording your question it sounds like you are not looking for how to use PHP on Mac OS X but how to set up the web development stack (Apache, MySQL, PHP) on your Mac.
Marc Liyanage very kindly maintains a current build of PHP for Mac OS X at his website: http://www.entropy.ch/software/macosx/php/
Go there, download it, follow the installation instructions, and you're good to go.
You can try using mac ports. Although it is difficult to setup initially, but once setup, its very easy to add packages. You can install new servers/memcached/mysql/php just by few commands.
There are many articles on google on installing Macports and then installing AMP. I found this article helpful.