If you've installed Mountain Lion on your Mac, you're probably familiar with Gatekeeper, the most obvious new security feature. Gatekeeper is intended to prevent the installation of malware by only allowing programs with Apple-approved digital signatures to be run. You can access its settings within System Preferences > Security & Privacy under the "General" tab, but there aren't a lot of choices.
If you select one of the first couple of options there, your system will obviously be more secure. But what happens when you need to run something that you know is legitimate, but it doesn't meet Gatekeeper's standards? Sadly, you'll get this unfriendly dialog box if you try.
So how do you override this? You can't. No, I'm kidding. Of course you can, and you don't even have to go back into System Preferences to do so. All you need to do is right- or Control-click on the app's icon and choose Open from the contextual menu that appears.
You'll still get a warning, sure, but you'll also get the choice to open the program anyway.
If you're not logged in as an administrator, you'll be prompted to authenticate as one to allow this to happen, but after you do, you should be able to run that program normally from all the user accounts on your Mac. So you can be both safe and free to do as you like with your computer—awesomesauce!