Basically, each package is signed using GPG. Keys are provided through different Debian packages (look for
You can see currently installed keys using
Additional keys are used when you are using 3rd party repositories such as Ubuntu PPA or others (Google, Skype, Valve...).
Some 3rd party repositories may also contain not signed packages which lead into this apt warning. Be particularly careful when using these repositories as a malicious Debian package you install can definitively compromise your system.
See this page (apt-secure) for more information.
apt-get update effect on this, it retrieves from the server up-to-date information regarding packages which can fix previous errors such as unsigned packages, expired GPG key and other bugs that may break the authentification chain.