Apple has gotten some much-deserved heat in the past for not adapting anti-phishing measures into their Safari browser. Phishing is when "bad guys" make look-alike websites and try to trick users into entering personal data like passwords or credit cards numbers, so they can be used to break into user accounts or make fraudulent purchases. We've had some warnings about MobileMe phishing attacks in the past for example.
Safari 4 Beta on the desktop finally took steps to address this, and it looks like Apple is rolling the anti-phishing alerts out to Mobile Safari as well! As more and more people start using mobile browsers for banking, email, and other security-sensitive tasks, Apple can't be too careful.
Also of note in the screen shot above is auto-fill. We're guessing this works like the desktop, automatically entering common data in text fields like name, email address, etc. (Of course, the convenience comes at the expense of the very security mentioned above -- balance your usage accordingly!)