The best option is to use the last stable version, today is 2.3.3 without serious bugs.
WP 2.5 will have many versions and fixes.
Why to lost time upgrading to the last version all the time?
The message can be removed at /wp-admin/includes/update.php
Just delete the code
add_action( 'admin_notices', 'update_nag', 3 );
