The certificate is out of date, invalid, or has an error.
The authenticity of the certificate or certification authority that issued it cannot be verified.
The certificate has normal validation. This means that communication between your browser and the web site is encrypted.
The certificate uses extended validation. This means that communication between your browser and web site is encrypted and that the certification authority has confirmed the web site is owned or operated by a business that is legally organized under the jurisdiction shown in the certificate and on the Security Status bar (a nice extra step).
It should be noted that even if the connection between your computer and the web site is encrypted, it does not guarantee that the website itself is trustworthy. Any knuckle head can get a URL and pay for a secure certificate. Your privacy can still be in jeopardy if the web site owners are fraudulent or simply do not take the time to secure your information.