You can remove the “Blah is an application downloaded from the internet. Are you sure you want to open it?” on a per application basis by using the following command:
xattr -d -r com.apple.quarantine /Path/to/application/
If you want to remove the that warning message from all in your ~/Downloads directory, you can type the following command:
xattr -d -r com.apple.quarantine ~/Downloads
Remember this method only effects items you choose to specify.