Are you talking about the alternating leg "kneading bread" behavior?  (Often
accompanied by purring)

For the most part, it is speculation about what it means.  Obiviously, the
cat is feeling good and postitive about you and it being together.  The same
or very similar behaivor is done while nursing from their mothers.  Some
cats will even suck on the chins of the person they are with when doing it.

My interpretation is that its a bonding thing they do with someone they see
as their "family" member. Only cats that I know well have ever done it to
me, and it seems to be "my cat" and "your cat" specific. (My wife has two, I
have two, and they rarely cross over with the behavior.)