There's an AppleScript folder action out there that will watch your downloads folder (Or wherever you download to) for new files and will "bless" them for you to remove that notice by telling the Finder that the file is safe. Of course then when you finally do download an unsafe file, you'll be screwed.. though when has there ever really been an unsafe file on OS X?
It gives me this dialog for LUA files even though they're opening in TextWrangler, which doesn't execute them, just views them. It's annoying. It even does it for MPEG-4 files sometimes.