Before Android 5.0, notifications would display the first few lines of text in the status bar (the ticker), assuming you didn't already have the notification shade open. Lollipop introduces the idea of heads-up notifications, and Google is so smitten with it that you can't even get the ticker anymore. It's heads up, or just the icon in the status bar.
This change is confirmed by the API documentation for Android 5.0, which explains the text that used to scroll through the status bar still exists, but it's not displayed on the screen. Instead, it's useful for accessibility services. The problem, however, is not everything will show up as a heads-up notification (see below), leaving you to guess at what lies behind that icon. You wouldn't want every notification to hover at the top of your screen like that anyway.
While a lot of people will be bummed about the loss of ticker text, it wasn't always a great UI experience. Google+ posts would scroll on and on and on up there, for example. There's an Xposed module in the works that will restore the text once Xposed works on Lollipop, but otherwise there's not much you can do about it.