Starting in Leopard (I believe) when you open a file downloaded from the web, OS X asks if you really mean it. While it is intended to stop maliciousness, it is only a source of aggravation for me. While there are some hints here on working around it, it turns out that you can disable it completely using a Terminal command:
defaults write com.apple.LaunchServices LSQuarantine -bool NO
This post is certainly obsolete...
After that, reboot, and you should be set. (this was inspired by http://hints.macworld.com/article.php?story=20091208050655947 )