If you for example download Skim on a new OS X installation, set Skim as the default application for PDF files, and open a PDF file, a dialog like this is shown:
You are opening the application Skim for the first time. Are you sure you want to open this application?
The application is in a folder named Applications. To see the application in the Finder without opening it, click Show Application.
The dialog is not shown if you open an application directly.
The dialog is shown again for each application if you reset the Launch Services database. The information about what applications have been opened before might be stored in
/var/folders/*/*/C/com.apple.LaunchServices-*.csstore, because it's modified when I allow opening an application.
defaults write com.apple.LaunchServices LSQuarantine -bool false only disables the dialogs about opening quarantined files.