This is most likely a Defective Pixel. There's not much you can do about it aside from cloning it out in Photoshop when it is obnoxious. Are you doing a lot of long exposures? Back when I was doing astrophotography I'd see a bunch of dead pixels in my camera, but never saw them in regular use. So it may be related to sensor time.

You can always contact the manufacturer and see if they have a defective pixel policy. You may get it fixed!

Hmmm, I just fully read the wikipedia article. By their definition, the pixel in the camera sensor would always be off, not always be on! But I tend to doubt that, on or off, they are still defective. This article over at Ken Rockwell's site calls them hot pixels. Same thing in my book. Hot, defective, whatever...