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I download a third party app, e.g., Carbon Copy Cloner. Since I think of it as a utility, not an normal application, I want to put it in the /Applications/Utilities folder. I notice that I'm asked to authenticate to do this differently than I would be if I put it in /Applications. What, if anything, is special about /Applications/Utilities?

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Nothing is really 'special' about that folder. It's just a folder in /Applications like any other folder (albeit with a custom icon). The permissions on the folder should be the same as /Applications itself — if they're not, they've probably been changed. You should be able to fix the permissions with a permissions repair from Disk Utility.

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