The dialog which appears after clicking the lock will bring you more detail. At the moment, you can reproduce this behavior (safely) by navigating to https://superuser.com, but I'll walk you through the process and describe what the documentation means. Clicking the lock produces the dialog:
What do these mean points to https://support.google.com/chrome/bin/answer.py?hl=en&answer=95617, which reads:
The site uses SSL, but Google Chrome has detected either high-risk insecure content on the page or problems with the site’s certificate. Don’t enter sensitive information on this page. Invalid certificate or other serious https issues could indicate that someone is attempting to tamper with your connection to the site.
In this case, it's present because the (valid) certificate is for *.stackexchange.com, and superuser.com doesn't match. That's a problem with the site's certificate. It's not a big deal; you really don't need SSL for most purposes on Superuser, and I'm fairly confident that the people behind *.stackexchange.com are the same people behind Superuser. In other cases with this same cause, such as https://j.randomsite.com signing itself with the certificate used for https://mail.google.com, the warning would indicate that something fishy was going on.Other reasons for this dialog (high-risk insecure content or different problems with the site's certificate) could also be malicious, so don't click through or enter sensitive information without being aware of what's actually going on.
Contrary to what other authors have written, this does not indicate mixed content. It might indicate incorrectly mixed content, but normally, that would produce a yellow lock and no slash:
about which the support link says:
The site uses SSL, but Google Chrome has detected insecure content on the page. Be careful if you’re entering sensitive information on this page. Insecure content can provide a loophole for someone to change the look of the page.