What does it mean to have a price on your head?

It means that people will pay other people to bring you in (to jail) or kill you. In the legal sense, this could mean that there is a bounty or reward for capturing you. In the illegal sense, it could mean that an illegal organization will pay money to the person who kills you.

This phrase was derived from older days where after a bounty hunter killed someone, they would cut off the head, and deliver it to the payer as proof that they had killed someone.