What does it mean when the letter S in green on the dash stays on?

In an automatic, like mine, it means that you have pressed the button on the side of the shifter to enable "sport mode." Basically, the computer will allow each gear to run at a higher RPM before shifting, resulting in better performance when accelerating. You could argue that this will also decrease your gas mileage because you are causing the engine to work harder than in has to, but I'm not sure exactly how much the fuel efficiency suffers.