When Apple distributes software and updates, it signs the package to ensure that nothing has been modified, similarly to PGP signatures on emails. The Apple Software Update Certification Authority
root certificate is installed with the operating system, and you can view it in
Essentially, this signature ensures that the software was distributed and verified from Apple, and that it has not been tampered with or changed. Just like a PGP email, if you change the content of the message, the signature won't match. I've seen people who have tried to download "pre-cracked" or pirated software (for iLife, iWork etc.) and their installer wasn't signed; the person who modified the package removed the signature from the package and redistributed it (or just created a very similar looking installer).
If you're receiving software through Software Update or downloading official patches/updates from
apple.com, the software should be signed by the Apple Software Update Certification Authority. If it's not, it's not genuine (Apple's stringency is a good thing).
Edit: The root certificate is the Apple Root Certificate Authority. The software distribution certificate is approved (not sure of the terminology) by the Apple Root Certificate Authority.