A couple of the most frequently used settings options have been moved in Ice Cream Sandwich. The first, and probably most important, is the "Unkown sources" option. That's the one that lets you install applications from outside of the Android Market in a practice commonly called "sideloading." It's also important because without it, you can't use other app markets like the Amazon Appstore or GetJar.
In all verisons up to Android 3.0 Honeycomb, the "Unknown sources" option was in the Applications part of the settings menu. In Ice Cream Sandwich, it's been moved to the Security section. And when you enable the option, you get a nice little security alert warning you with the following:
Your phone and personal data are more vulnerable to attack by apps from unknown sources. You agree that you are solely responsible for any damage to your phone or loss of data that may result from using these apps.
We're really not that worried, so long as you stay out of sketchy Chinese app stores.
Another setting that's moved is USB debugging. It's important if you're going to be doing any hacking on your phone. It also used to be in the Applications section, but it's moved to the "Developer options" section, which makes sense.