http://www.youtube.com/watch?v=tRTYh71D9P0&feature=youtu...
[Edit: First the video was public, then it was made private, now it seems to be "unlisted" but viewable. So no guarantee that it'll still be there in another minute...]
Why is this a good thing? Because it proves a point: the rocket automatically adjusted its trajectory, and continued on its course as if nothing had happened.
The Falcon 9 is the first American rocket since the Saturn 5 with an engine-out capability. Its multiple symmetrically-arrayed engines allow for it to compensate for a sudden loss of thrust from one side: the other side reduces thrust as well to stay balanced, and everything else just burns a little bit longer. That was the theory, anyways. Today they put it into practice.
For any other rocket that you've seen launched in the last 35 years, that would have ended the mission catastrophically -- but the Falcon shrugged it off like nothing had happened. They always said they could do that, and now they've done it. Congratulations, SpaceX! Creating a fault-tolerant rocket is much better than creating a faultless one (since that's impossible).
[Edit]: In the absence of the video, the engine anomaly is being widely reported on Twitter: https://twitter.com/spaceteam/status/255128401927610368 https://twitter.com/visionik/status/255128010653593600