The last option, 'Anywhere,' 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 preferred option, since Apple can verify that there has not been any tampering with the apps since they were signed. The next option also trusts apps from 'identified developers,' which are developers with a unique Developer ID from Apple who have their apps signed digitally. You will 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.
