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.
One of the most common way to escape a Big Drop is to Hold the Ollie button.
Another way is to grind on a ledge or rail. If there isn't any grindable platform, manual instead.