iOS 5 Music App Grey circle with a square inside it next to the song title - what does it indicate?
Well, that symbol is the download progress indicator. It appears when you buy a song from the iTunes Store directly on your device. The progress is shown in a bar that goes around the circular track on the outside.

It means that it can be listened to via streaming (by clicking on it in the normal manner) if you have a suitable internet connection but has not yet been downloaded to the device.