Vega does a fantastic job of scanning targets and listing potential vulnerabilities in a very short amount of time. Vega has quickly become my primary web vulnerability scanner, and the absolute first tool I use when I'm performing any type of web app testing. It's fast, and continuously comes up with more resulting data than any other scanner I've come across.
As a Mac OSX user, I generally do most of my penetration testing from within a Backtrack virtual machine. Since Vega is built on Java, it runs on Mac OSX. It's fairly new software, so it has its fair share of bugs, but you can always download and compile from their development branch to get the latest, cutting-edge updates.
There is also a feature for a built-in web proxy which I will write more about in a more detailed review. In the meantime, I suggest you check out Vega. It's an absolute 10.