Whenever I try to adjust gamma settings in a game, I am shown three different icons and usually asked to make sure the left-most one is barely visible.
What are the other two icons for?
This has to do with gamma correction.
If one pixel has red component with value of 1 (where 255 is max), the next pixel has value for red that is 2, there no guarantee that exactly twice as much photons are exiting from the second pixel. Displays have different curves that predict what's the expected brightness. It also has to do with how our eyes work: they're more sensitive for darker shades than brighter shades.
To read more about these phenomena:
The three images are used as low value, medium grey and bright examples. Indeed, the lowest brightness is used so you are able do see the difference between the black background and "barely lit" object, and the other two images are just used to display other important values for the set gamma curve.