As of OS X 10.8 (Mountain Lion), Apple requires all applications to have a signature signed by Apple's root CA. An application that doesn't have one will refuse to launch unless explicitly overridden or grandfathered in from a pre-10.8 install.
Since 10.8 is due to launch by the end of the month, and is expected to launch within the next week or so, we should work on either producing a signed build or, at the very least, document the work around (right click -> Open, then Open again).
Geenz claims to have obtained a certificate for Exodus, but build system work still needs to be done to make the signing effective.
OS X 10.8 Mountain Lion