Thanks guys. That solves that mystery.
Funny thing is: I was "sharing my Internet", but I did turn it off after I was done. Also, I never noticed that this icon was there when I tried Internet sharing... I never "pulled down" the notification area. The icon did not go away though after I was done. That's why I was curious... I did check if Internet sharing was on/off. I restarted my phone, and now it's gone.
Funny, I see no mention of this icon in the user guide.