It may be a good point to mention a fact that a lot of people seem to overlook when talking about Gatekeeper.

The Gatekeeper functionality only affects files that have been downloaded over the internet and not applications that have been transferred e.g. via a USB drive. More specifically it only affects applications and packages that have the "com.apple.quarantine" flag set on them.
You can check for this flag by running "xattr <filename>" in the Terminal.

So if you download some file through an application that does not set this flag (or you remove the flag manually with e.g. "xattr"), Gatekeeper will not check the signature.

Just wanted to mention this since a lot of people seem to have problems understanding what Gatekeeper is exactly and what it really does.

Thanks for the explanation. As an addition: I noticed that the latest TinkerTool has (at least in Mountain Lion) a setting "Don't show quarantine warnings for downloaded files". I did not (yet) enable it.