This is an alert for anyone who has an online account. Sony of America has confirmed that "an illegal intrusion" has occurred into their system has caused a "compromise of personal information." As of right now Sony officials don't believe credit card information was taken, but they do believe that hackers may have taken names, addresses, email addresses, birthdates and passwords among other things.
If you used your PlayStation Network password on any other accounts, change it ASAP. Changing the answers/questions to your security settings/password recovery (if possible) is also recommended. You should also keep a close eye on any credit card accounts you have associated with the Sony PlayStation Network, possibly even have a 'fraud alert' put on your file. Its free to do and it will alert creditors to take additional steps to verify your identity prior to granting credit in your name. Sony has provided contact information on their site for the three major US credit bureaus. Finally, be suspicious of any funny or unfamiliar emails.
An FAQ by Sony on the incident can be found at the link provided.