the top [right] moon there is Dione, and the bottom [left] one is Rhea. As Cassini flew by them, Dione was closer (a little more than 1.1 million km or about 690,000 miles), and Rhea farther away (1.6 million km or 1 million miles). The angle of Cassini's trajectory was just right such that Dione passed right in front of Rhea, and it snapped this image just as it happened.
From Cassini's viewpoint, the two appeared to momentarily connect. It just so happens the two have almost the same albedo (reflectance), making them look very similar in this picture, so where they overlap it looks like they're connected. Making this even more convincing is the big crater at the bottom of Dione, somehow fooling your eye into getting confused as to which moon it belongs to! So it's really easy for your brain to merge the two spherical moons into one figure-8 moon.
Pretty cool. Granted not as cool as if women had 13 nipples like these natural satellites, but my dog has 10 so that's not bad.
Dione and Rhea, sitting in a tree [badastronomy]
Thanks to Dr Necropolis, who wants to live there. Me too, Dr Necropolis, me too. Cue first commenter's "that's no moon..."