I haven't made much progress on this....
I did find a forum posting from some time ago that seems similar to my problem, except on Windows, and the solution seemed to be to update the graphics card drivers, due to an invalid OpenGL render context being created.
http://en.sfml-dev.org/forums/index.php?topic=4198.0With a MacBook obviously I'm pretty much stuck with the drivers provided by Apple. I'm on Mavericks 10.9.1, and the machine has dual graphics support with Intel HD 3000 graphics and a AMD Radeon HD 6770M.
What's interesting is that I compiled the examples included with the SFML source and those ran fine. I tried to setup a new project in Xcode without using the templates, and those built fine but I got the same error.
Any ideas of other things I could try to diagnose this issue?