Good news for Mac users with Word 2011:
EndNote has released a Beta version of an X4 update that should work with Word 2011 (the first version of EndNote X4 doesn't work with Word 2011 for Mac).
You can find it here:
Be warned, however, that it is a Beta version. That means they're still working on it, and it may have some bugs that need fixing.
If you want to be absolutely sure EndNote X4 will work on your Mac, the safest option is to use Word 2008 for the time being and wait until EndNote releases a full update.