I recently ran into an error on my Mac install of LyX, where pdf images weren’t being displayed. After some searching, it looks like the error is a bug in Ghostscript 8.70, and can be fixed easily:
With Ghostscript 9.00 now out, this bug should be squashed (although I haven’t checked).
Edit: After upgrading to Lion, this error reared its ugly head again. After reinstalling Imagemagick (6.7.1-1) and Ghostscript (9.02), using Homebrew, my install is back in action.