John Robbins has a great post on why and how to digitally sign your EXEs. As he mentions, this is very important, especially on Windows Vista, if you want to have a professional looking application.
I've been using code signing for most of this year. We actually not only sign our application's EXE but also the installer so the user doesn't get the "unknown publisher" dialog when they install it.
Honeysuckle Rose | Tommy Emmanuel
13 hours ago