Gatekeeper isn't the most obvious feature of the new OS X Mountain Lion system that you probably downloaded and installed yesterday, but it might be one of the most important. Gatekeeper essentially oversees a list of verified developers who have applied for and received a Developer ID from Apple.
It also allows you to specify whether your Mac will install apps only from the App Store, from the App Store and this list, or from anywhere you want. If you choose the Mac App Store only, you'll be able to make sure that everything you install has gone through Apple's approval process, which is about as protected from malware as you can get.
When you installed Mountain Lion, every app that was already on your Mac got a free pass as far as Gatekeeper is concerned. The apps were grandfathered in as already having been run and cleared; since Gatekeeper works by preventing the first launch of an app, those apps are OK. In fact, you can keep the "Mac App Store and identified developers" setting turned on for safety while still installing and running non-signed apps; just right-click (or control-click) the unsigned app and choose Open. Gatekeeper will prompt you for a single-app exemption and if you're OK with it, the app will launch from then on.
Now, not everybody appreciates Apple's "walled garden." Some developers take issue with the fact that they need to be "verified" by Apple before releasing and running software on the Mac. Gatekeeper is also responsible for "sandboxing" applications, which means keeping applications from changing files on parts of your computer that they don't usually interact with (though this does cause problems for apps that do want to dip into your personal system files, usually just to make things easier on you).
At any rate, sandboxing and Gatekeeper are a reality for now. If you want to tweak your Gatekeeper settings, you can find them in the System Preferences screen under Security and Privacy.