To run it anyway, either disable gatekeeper, or simpler: Press the control key and click the app icon. Then choose 'open'. That's it.
I am personally still refusing to sign the software I create, not on Windows and not on Mac OS X. So all my software causes problems like this above. But my users don't seem to care. And if they do, I tell them this above. Works.
The worst experience so far was with XCode / Mac OS X: In order to use certain features today, Apple forces you to update to XCode 5. That IDE only works on the latest Mac OS X, namely Mavericks. And Mavericks decided not to run on my Mac. So I had to use a newer Mac, move all my stuff to that computer, install/configurate Mavericks, install XCode 5, and upgrade my project to work flawlessly with XCode 5. You would assume that would be straighforward - opening the project file and the new IDE would update itself accordingly. But no, I had to waste nearly one week to figure out which schemes, targets, build settings, linker settings and build phases were fucked up now, and numerous times I had to figure out how that new version of XCode does things in the UI which simply worked in XCode 4, 3 and 2 (ever tried adding a new build phase? Have fun ). Even icons (!) stopped working, Apple apparently removed the 1024x1024 icons size from IconComposer so that you are forced to use their new icon generation system. Fortunately, for most problems, there were developers who had the same issues, and Stackoverflow is there to help you.
But you would assume after all that, it would finally be over, right? Unfortunately, I was wrong. After the first project ran and built sucessfully, I again had to go through that clusterfuck of manually generating, downloading and installing a handful of certificates. XCode 5 seems to be able to fix and install the right certificates now automatically, but for certain edge cases, it either fucks up or does the wrong thing, apparently. This again cost me about one whole day.
I'm still not entirely finished with this process, but I think I saw a faint light at the end of the tunnel. :)