Arduino has an input value in disconnected pin
You're getting something called "floating input".  When you think about it, an ideal device for measuring input will have a very high input impedance, and thus will not remove very much electricity from the pin.

So what happens is that random electrons float on to (or off of) the pin (either from electro-magnetic interference in the environment or from direct contact with something with a slight charge), and because it acts like a very high resistance connection to ground, this charge will drain off very slowly.  Thus when you go to measure it, it looks like there's some voltage there!  In general, you either hook this up to some device which provides a voltage, or you put in a pull-up or pull-down resistor and adjust your expectations on that pin.

I hope that helps and if not I'm sure someone has a link to another person who has answered this question more competently (I see in the related section at least one near-identical question).