I appreciate that Mac OS X will warn me the first time I run an application downloaded from the Internet. However, I don't like that a) you can't turn it off and b) it warns about things that aren't applications. The worst is when I download a .zip or .tgz with a bunch of PHP scripts--OS X will warn me about every single one. Luckily, this can be stopped with a quick trip to Terminal: just navigate to the folder with the scripts and say xattr -d com.apple.quarantine *

Tip from http://www.macosxhints.com/article.php?story=20071029151619619