Why is Mountain Lion more security conscious? Whenever I open an application not downloaded from the App store (or a trusted vendor) I get a warning.

The warning reminds me a bit of the awful window popup that comes up every time you want to open an executable that says something to the effect "are you really sure you want to open this?".

What else about Mountain Lion makes it more security conscious?
Apple computers have long been considered "virus free" although Apple stopped pushing this as a selling point earlier this year in the wake of several Apple targeted viruses.
The truth is that a virus can be programmed for mac much like a software application can, the reason for the lack if infections on mac was merely the same as the reason for lack of some apps in the past, the relative unpopularity vs windows machines meant it was less practical to program for mac.
With macs now being more popular than ever before, Apple now has to implement strict measures to hold on to their clean, virus free image, hence Gatekeeper being added to Mountain Lion.