The infamous "Big Drop" can only be found in THPS2 and THPS HD. The icon appears when the skater ollies from too high of a drop. Most people do not like this because it causes you to bail. But, there is two simple ways to land one.
First Way
One of the most common way to escape a Big Drop is to Hold the Ollie button.
Second Way
Another way is to grind on a ledge or rail. If there isn't any grindable platform, manual instead.