OS X Downloaded File Warning Example at bottom.

How does OS X apply this warning and what's the best way to disable it? 

I'm a Web Developer and more than understand the risks of teh interwebs.
Use the Terminal and this command:

defaults write com.apple.LaunchServices LSQuarantine -bool NO


That will disable warnings completely after you restart the system. To reverse it, run it again with "YES" instead of "NO".

Or you can create a custom listing of safe files with the method described here:

Custom assessment file for downloaded files