Wi-Fi icon next to apps in android market
It means that a Wi-Fi connection is strongly recommended to download them. This is usually because the apps are very large, such as World of Goo which is ~48 MB.

The newest version of the Market (v3.4.4 as of writing) displays a warning that lets you download it anyway, but I think that older versions just wouldn't let you download at all via a cellular connection (not positive on that, but I seem to recall seeing it myself).