The fingerprint is based on the Host's Public key, usually based on "/etc/ssh/ssh_host_rsa_key.pub" Generally its for easy identification/verification of the host you are connecting to.
If the fingerprint changes, the machine you are connecting to has changed their public key. This may not be a bad thing(happens from re-installing ssh), but it could also indicate that you are connecting to a different machine at the same domain/IP(happens when you are connecting through something like load balancer) or that you are being targeted with a man-in-the-middle attack, where the attacker is somehow intercepting/rerouting your ssh connection to connect to a different host which could be snooping your user/pw.
Bottom line: if you get warned of a changed fingerprint, be cautious and double check that you're actually connecting to the correct host over a secure connection. Though most of the time this is harmless, it can be an indication of a potential issue