Intel CPUs enforce security using what's called 'Protection Rings'.
There are 4 of these, numbered from 0 to 3. Code running in ring 0 has the highest privileges; it can (practically) do whatever it pleases with your computer. The code in ring 3, on the other hand, is always on a tight leash; it has only limited powers to influence things. And rings 1 and 2 are currently not used for any purpose at all.
A thread running in a higher privileged ring (such as ring 0) can transition to lower privilege ring (such as ring 1, 2 or 3) at will. However, the transition the other way around is strictly regulated. This is how the security of high privileged resources (such as memory) etc. is maintained.
Naturally, your user mode code (applications and all) runs in ring 3 while the OS's code runs in ring 0. This ensures that the user mode threads can't mess with the OS's data structures and other critical resources.
For details on how all this is actually implemented you could read this article. In addition, you may also want to go through Intel Manuals, especially Vol 1 and Vol 3A, which you can download here.
This is the story for Intel processors. I'm sure other architectures have something similar going on.