How to run VLC on El Capitan? El Capitan claims "VLC.app will damage your computer."
I've had the same issue with El Capitan. Strangely, i could open the VLC.app from within the mounted dmg (OS X just said its unsigned) but not after I copied it to /Applications.

So I tried to copy it with the terminal like

cp -R /Volumes/vlc-2.2.1/VLC.app /Applications/


and voila, after that I could also open it from within the Applications folder.
Please note the "-R"-option.

I think this is safer than allowing malicious files to be executed by disabling Gatekeeper.