It means something is playing in iPod mode. I've noticed many times it will still say something is playing when I stop playing a video and go to the main menu.
I've twice seen it show up after buying something from the wifi iTunes store. In both cases it showed up even though the iPod was paused. Force-quitting the iPod took care of it.
Since 1.1.1 several people have reported seeing the play icon even though the iPod is not playing. I've had it happen to me 2 or 3 times. Opening the iPod, hitting play then pause makes it go away. Kinda annoying. For me, it seems to happen if I've been listening with headphones and take the headphones out before closing the iPod app.
Between this, the google maps link integration not working, the disappearing (alternatively miscolored) status bar, and, possibly, battery life issues, this release is pretty buggy.