There are two different ones I have seen. The first one is a lateral blue arrow that shows up when the iPod is playing. The second is a diagonal pointing one that indicates a app or service such as the map on your phone or craigslist locating the area you are in
The iPhone settings and symbols can be tricky. If you have the blue arrow, in the right hand corner, it means call forwarding is enabled. To turn it off, go to your settings and disable it. The blue arrow will then disappear.