Gatekeeper is a new security feature that intends to protect your Mac against apps that might be from a malicious source. It can be switched off altogether, or set to the extreme of only enabling apps from the Mac App Store to run. It's the safest option due to the strict rules Apple imposes on what those apps can do to your Mac, but it's also the most restrictive as a result.
A third option is provided as a compromise. It enables apps from other sources to run if they contain the signature of a developer known to Apple. This option is the default when you upgrade, but you don't have to worry about the apps already on your system that haven't been signed; they're automatically green-lit.
Even this choice isn't as restrictive as it sounds, and with good reason. If the restriction was rigidly enforced, you'd probably turn off Gatekeeper altogether. When you want to run an app that isn't signed, you browse to it in the Finder, Ctrl-click it and choose Open.
The extra, unusual effort of opening by this method tells Gatekeeper that you really want to run the app anyway. It asks you to confirm that intention, just in case, then enables the app to run. In future, you only have to click its icon. We can only wait to see how robust Gatekeeper and app signing are, now that they're out in the wider world.
This feature only applies to MacBook Air models from Late 2010 onwards, and the new MacBook Pro with Retina display, all of which have shipped with flash storage onboard. Those models consume very little power when they're put to sleep, which enables them to retain battery charge for weeks. They can also perform certain tasks while consuming little power, and that's exactly what Power Nap does.
Though it looks and sounds like it's doing nothing, your Mac can be busy backing up to a Time Capsule, keeping documents in iCloud up to date, and receiving emails and pictures via Photo Stream. It also makes good use of the downtime to download software updates. It's a neat feature, and one that surprises when you lift a MacBook's lid and find you're able to read emails received overnight, even though you haven't got an internet connection.