The padlock icon on your status bar means that Rotation Lock has been enabled on your iPad. Rotation Lock causes your device to stay in portrait mode, regardless of how the iPad is being held. To disable this feature, swipe up from the bottom of the Home screen to bring up Control Center, then tap the padlock icon to turn off Rotation Lock.
UPDATE: iOS 4.3 adds a Settings option to turn the mute button back into a rotation lock switch.
UPDATE: Apple has changed the rotation lock switch into a mute button with the iOS 4.2.1 update. To lock the screen orientation double-press the home button to bring up the multitasking dock. Swipe left to right on this dock until you see a gray box icon with a circular arrow inside. Tapping this icon will enable or disable rotation lock. When the orientation is locked a padlock image appears inside the icon.