Yep, thats the DC input. its a standard 2.1 mm dc socket, wired centre positive and accepts any voltage from 7 to 20 volts. If your circuits use a lot of current, the voltage regulator on the Arduino will get hot at the higher voltages.
A cheap alternative to a 9v battery that will run for far longer is to connect 3 alkaline AA cells in series and feed it directly to GND and 5V. It doesn't provide exactly 5V which usually isn't a problem, but it doesn't have any polarity protection, so get it right. Because it doesn't do through the voltage regulator it isn't wasting almost half the batteries energy as heat. In my experience the arduino will continue running until the cells are down to about 3 volts (completely knackered in other words). It has pros and cons like almost everything else in life......
Heres a standard Arduino Duemilanove running good ol' blink on 2 freshish AA batteries (as opposed to 3 knackered ones) at a tad over 3 volts :