Read about it here as well as get the upgrade.
An important security issue has been brought to the attention of the WordPress team and we have worked diligently to bring you a new stable release that addresses it. Our latest version 2.0.2 contains several bugfixes and security fixes.
The problems addressed are unannounced XSS issues privately discovered and reported to the WordPress team. Thanks to Mark Jaquith, Robert Deaton, and David House for assisting with this release.