Arrow is a moved thread...
A dotted envelope is a thread you've posted in...
An envelope is a thread that hasn't been posted in for a while...
A red envelope is a thread that has recently been posted in...
yellow envelope = a thread with no new posts since you last visited.
yellow envelope with dot = a thread you've posted in, but that hasn't had any new posts since you last visited.
red envelope = a thread with new posts.
red envelope with dot = a thread you've posted in with new posts.
all of the blue icons = entirely optional and picked by the thread starter. They work pretty much like emoticons, you have to decide for yourself what they mean.
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If I'm posting here then Counterglow must be down.
The envelopes are marked thread indicators. The blue icons are Thread Icons, picked by the thread starter. Here, they're quite useless. But on a forum like Something Awful, they are much more useful since the default ones have been replaced by wider tags that are used to mark the contents of the thread: "Computers" "Politics" "Games" "Cars" etc.