what is this connected to steering shaft??

That is the intermediate shaft the just slides into the column, its is a loose press fit.

Usually if the wheel moves that much it is up at the wheel, I have never seen a column with a intermediate shaft loose, they can be quite a PIA to get to move. Make sure all the column support brackets are tight.
 
my headlight switch it to the left of my gauge cluster, its nowhere near my steering wheel. could it be from a shot steering shaft maybe?? the whole intermediate shaft moves up and down a good inch or more, i cant find any loose bolts or nuts anywhere..