As most of us know Sony found a file on their server called "Anonymous" and in said file it said "We are legion". Anonymous also has a protesting operation called OpSony which is just to protest Sony by standing outside the stores in masks and boycotting all Sony products etc. They are protesting, I believe, to get the OtherOS feature back and to get all charges (gag order) on GeoHotz dropped


Theory 1:
Some random hacker(s) saw that people automatically started questioning Anonymous and jumped on it and framed them by putting the file their.


Theory 2:
Sony was hacked by some random hacker, but instead of the hacker framing Anonymous maybe Sony decided to frame Anonymous so they looked like the bad guys so they would get less support.

I don't really think blaming Anonymous is really going to do anything since Anonymous is not really a group, anyone can be Anonymous all they have to do is say "I am Anonymous."