

Sometimes these things have malware baked in, so I would recommend using the "identified developers" option and okay installation of apps missing a Developer ID on a case-by-case basis. The last option, "Anywhere," obviously removes Gatekeeper's blocking capabilities on your Mac, letting you install and open any app off the internet, including Automator apps made by individuals. This is the option I use, since Apple can verify that there hasn't been any tampering with the apps since they were signed.

The next option also trusts apps from "identified developers," which are basically developers with a unique Developer ID from Apple who have their apps signed digitally.

Basically, you'll know that your Mac will be as free as possible from malware if you use this option only. The safest option to choose here would be the "Mac App Store," since Apple reviews all apps that are accepted in their store and can remove them quickly if necessary.
