According to http://www.spacex.com/news/2013/02/09/falcon-9-flight-1-pictures http://www.spacex.com/news/2013/02/09/falcon-9-flight-1-pict... , it's the nozzle

According to http://www.spacex.com/news/2013/02/09/falcon-9-flight-1-pictures http://www.spacex.com/news/2013/02/09/falcon-9-flight-1-pict... , it's the nozzle stiffening ring. I'm guessing that it's there to help with handling the incredibly thin nozzle extension in gravity, and that once the craft is in freefall (or under exhaust pressure) it's no longer necessary.