Icons indicate if you've made a piece of information (such as your age) public; links let you go to the originating services and manage settings relating to them.
It puts scads of information about you in one place, which is why you need to enter a password to get to it - even if you're already logged in.
Here's what Dashboard tells me about my usage of Google Docs:
And here it tells me that I've shared an album on Orkut (which was startling to hear, since I don't remember ever using Orkut - but I figure Google has a better memory than I do):
The level of information that Dashboard provides is curiously inconsistent - the Gmail section is so granular that it tells me exactly when I last received a piece of spam and what the title was, but the Contacts one merely notes how many contacts I have.
I'm not sure if there's an overarching philosophy about what info goes into the Dashboard, or whether different Google teams simply had varying philosophies.
Dashboard could use some more explanation. I already knew that I use a ton of Google services and they know a lot about me, so seeing it all in one place was more entertaining than scary.
As long as I'm looking at the big picture, I'd like to get more information on exactly what Google does (and doesn't do) with my personal information - but Dashboard's help is pretty perfunctory, and there's no concise data-point-by-data-point disclosure.
So before you checkout Dashboard, here's Google's video introduction: