[sparkman55]

As I understand it, there are fins that deploy in order to steer the rocket on the way back down (the first stage). They are really cool "Grid Fins" [1] that work even in supersonic flight. In particular, they are used to prevent the rocket from spinning, and to keep the rocket upright.

The rocket can also steer by "gimbaling" the motor (pointing it in different directions), but that has limitations; changing the rocket's orientation will also change its velocity (like balancing a broom on your hand).

In this case, the hydraulic fluid is used to rotate the grid fins and therefore keep the rocket upright. When the fluid ran out, the fins wouldn't work, which is why the rocket comes down tilted.

Hope that helps!

[1] http://en.wikipedia.org/wiki/Grid_fin