[maaku]

If you develop your own applications, that can get very annoying very fast...

[archgrove]

It never asks for locally created applications. It's purely for things downloaded over the Internet. In essence, it's a more advanced version of the original "You just downloaded this, are you sure you want to run it" warnings from the file quarantine system introduced with....Leopard, I think?

[microtonal]

Yep, its asks it for files with the 'com.apple.quarantine' flag, which is attached to downloaded files.

You can see its value with:

  xattr -p com.apple.quarantine <filename>

And remove it with:

  xattr -d com.apple.quarantine <filename>

Binaries/application bundles that roll out of your linker/xcodebuild do not have that attribute. Hence, no bugging :).