To add to @Luboš Motl's great answer, I just want to mention the connection to the electric current and electric charge density from electrodynamics, which you may be more familiar with.
Note that probability is unitless, so probability density has units of 1/Volume and probability current has units of 1/area*time. These are the same units as electric charge density and electric current up to a factor of electric charge. Indeed, if you multiply these quantities by some electric charge Q, you get totally sensible electric charge densities and electric currents that satisfy the continuity equation for electrodynamics (which has the same form as the one posted above, except that $\rho$ and $\textbf{j}$ are interpreted as the relevant quantities in electrodynamics, not quantum mechanics.
What's more, if you calculate $p$ and $\textbf{j}$ for the electron in a hydrogen atom (part of any first course in quantum mechanics) and multiply them by $e$ the fundamental electric charge, you get the associated electric charge density and electric current for hydrogen. If this doesn't seem noteworthy to you, try using the bohr radius and the electric current you just calculated to calculate the magnetic dipole moment of hydrogen: $\mu = I A$. It comes out pretty close to the actual value! So this interpretation of probability flow as creating a "probabilistic electric current" is actually meaningful, in that it gives a heuristic approximation to the real magnetic dipole moment of hydrogen.
Last comment: it was actually by trying to address such problems in electrodynamics that Schroedinger first developed his famous equation. The original wavefunction actually had units of $\sqrt{\frac{Q}{P}}$ where Q is charge and P is probability. It was only later that he realized the greater significance of his result and dropped the charge factor.