HA! What an awesome shot! But what's going on here?
OK, let me explain this gently. When two moons are in love, they...
No, wait. So, moons are really gigantic single-celled organisms, and when they reproduce, they fission...
No, wait. OK, seriously: the top moon there is Dione, and the bottom one is Rhea. As Cassini flew by them, Dione was closer (a little more than 1.1 million km or about 690,000 miles), and Rhea farther away (1.6 million km or 1 million miles). The angle of Cassini's trajectory was just right such that Dione passed right in front of Rhea, and it snapped this image just as it happened.
From Cassini's viewpoint, the two appeared to momentarily connect. It just so happens the two have almost the same albedo (reflectance), making them look very similar in this picture, so where they overlap it looks like they're connected. Making this even more convincing is the big crater at the bottom of Dione, somehow fooling your eye into getting confused as to which moon it belongs to! So it's really easy for your brain to merge the two spherical moons into one figure-8 moon.
This isn't the first time Cassini has caught the two moons in a rendezvous; in 2005 it captured this cool image of the pair as well from a distance of a little over a million kilometers from both. All the moons of Saturn orbit the planet in the same plane, directly above its equator, so it's common to be able to see more than one in a single image... and sometimes even eclipsing each other.
Some of the most dramatic images returned from Cassini show more than one moon in the frame, reminding us that not only are each of these objects worlds in their own right, but also that Saturn is a really, really strange place.
Tip o' the RTG to Carolyn Porco. Image credit: NASA/JPL/Space Science Institute