What does this sideways-thermometer-looking bar mean?

That is your body temperature. When it gets low enough, the screen will start fading to white. If it empties, you will freeze to death.

Temperature varies depending on the planet you are on, the biome you are in, and whether it is day or night. To warm up, you can enter a structure, equip warmer armor (denoted by the sun symobl), or build a fire.

Torches work pretty well for this, so since you are only slowly losing heat (you only have one green arrow in your pic, if you were losing heat faster you would have multiple green arrows) drop a torch or two and huddle around until you are warmer.