Gay, who won the 100 metres on Sunday, became only the third man to win both the 100 and 200 at a world championships when he outpaced the field to triumph in 19.76 seconds.
He joined compatriots Maurice Greene and Justin Gatlin in accomplishing the feat.
“What I did here was a lot of strength, hard work and prayer. I did it for my coach and family...it feels great,” Gay said.
Gay, whose winning time was a championship record, had trailed Jamaica's Usain Bolt after 100 metres.
“It shocked me, I was slightly frightened,” he said. “He gave me a run for my money. Coming off the curve to see him winning -- I'm not used to that. After the race I was extremely tired. Couldn't really put up my arms to celebrate. The 100 took a lot of focus. But I've never won a 200M on a major stage.”
Euphoric as he was, the 24-year-old kept his feet on the ground when asked if his win made him the best of all time.
“I wouldn't say that,” he smiled. “To be the greatest of all time you've got to do it over and over and indoors.”
Bolt took silver with 19.91 and Gay's training partner and compatriot Wallace Spearmon Jr finished third in 20.05.  “He just flat out beat me,” Bolt said.
Saladino, watched by Olympic great Carl Lewis and world record holder Mike Powell, won gold with 8.57 metres on his final leap of the long jump, extending his winning streak to 16 competitions.
Italy's European champion Andrew Howe had to settle for silver after celebrating when he believed he had done enough to win with his final attempt of 8.47 just minutes earlier.
“Howe's last jump fired me up and gave me extra energy,” Saladino said. “Then when I nailed my last one it felt like I was having an out of body experience.
“I'm so proud to win gold for Panama. That was the biggest jump of my life,” Saladino said.
Rawlinson became only the second Australian to win two world titles when she outpaced defending champion Yuliya Nosova over the last 200 metres to reclaim the crown she won under her maiden name Pittman in 2003 in a season's best 54.31 seconds.
The 24-year-old, who gave birth to a son just last December, joined compatriot Cathy Freeman, the 1997 and 1999 400M gold medallist, as a twice world champion.
“Tonight's victory is sensational,” Rawlinson told reporters. “It has only been eight months since the birth of my son. I've only been in training three or four months. “It's been a rocky road ... but if we can climb this mountain, this early, then anything is possible.”
German Betty Heidler won a surprise gold in the women's hammer. Heidler won her first major title with her second throw of 74.76 metres, just two centimetres more than twice world champion Yipsi Moreno of Cuba.
China's Asian Games champion Zhang Wenxiu took bronze with 74.39.
Results:  Men: 200M: Tyson Gay (US, 19.76S) 1; Usain Bolt (Jam, 19.91) 2; Wallace Spearmon (US, 20.05) 3. Long jump: Irving Saladino (Pan, 8.57M) 1; Andrew Howe (Ita, 8.47) 2; Dwight Phillips (US, 8.30) 3. Women: 400M hurdles: Jana Rawlison (Aus, 53.31S) 1; Yuliya Pechonkina (Rus, 53.50) 2; Anna Jesien (Pol, 53.92) 3. Hammer throw: Betty Heidler (Ger, 74.76M) 1; Yipsi Moreno (Cub, 74.74) 2; Zhang Wenxiu (Chn, 74.39) 3.