The progress bar you are referring to spinnerlys has different appearance and is a result of waking from deep sleep. The desktop image is shown in the background, but is greyed out, as the image loads. I don't think this is what the OP is referring to. See the attached images.
There are two things a gray progress bar beneath the Apple when booting can mean.
A firmware update or
A system check of the disk (Repair Disk).
I am going to guess it is the latter, and you are right OP. If this is being displayed every time you boot, you should backup your data as there are likely serious problems with your hard disk (physically or logically).
After you backup your data.
1. Boot to your Install DVD
2. Then run Disk Utility (Utilities > Disk Utility)
3. Run a Disk Repair on your drive
Depending on what happens I can advise on what you should do.
If it is unable to repair the drive, erasing the disk and reinstalling may work.
However, be aware that this may indicate a failure of the drive and the symptoms may return. Checking the S.M.A.R.T status in System Profiler or Disk Utility and running Apple Hardware Test will help you determine if the problem is hardware or simply software based.
http://support.apple.com/kb/TS3148