As far as downloaded files are concerned, the latest version of OS X seems to have taken a cue or two from Redmond. Eric Meyer figured out a fix for this that will allow you to selectively disable the downloaded file warnings for certain file types. Here’s his take on the problem:

One of the things that I’ve found mind-bendingly annoying about Leopard (besides its complete refusal to allow classic window management) is the “this file was downloaded from the internet, are you sure you want to open it?” dialog box. Yes, damn it: I just downloaded the file with the express intent of opening it. Stop bothering me. Keep it up and I might mistake you for PC.

Assuming you can use good judgement without the need for an alert box, the solution is a simple XML preferences file edit. You can disable the nag on text, html, images, or whatever file types you commonly download and open.

Selectively Disabling Downloaded-File Warnings in Leopard