Progress bar means your page is loading. In other words, Safari is "talking" to the server of the page you are attempting to load. If it stalls, it simply means communication between the server and Safari has stalled.
The "pinwheel" isn't about browser-to-server and back communication. When you see the pinwheel, it means your system is busy. I.E. either RAM, Cache, Processor, read/writing to the HD, or any combination of them is experiencing a "traffic jam" (for lack of a better term).
One (the pinwheel) means the computer itself is busy. The progress bar indicates computer-to-server communication is (or is not - if it's stalled) occurring.
EDIT: If you stop seeing the pinwheel when you switch to another program it means the "traffic jam" is only affecting Safari, but it's pretty common to start seeing it in other programs too if you don't wait for it to go away first. If you keep trying to get things to work in other programs while one program is busy, it can cause the pinwheel to appear constantly, perhaps even locking up the entire OS, forcing a hard shut down, so patience is best.