This cool critter is an Echinoderm, which means it's related to sea stars, sea urchins, and sea cucumbers. Despite several months studying invertebrates with my Marine Science class this year, I was stumped when trying to figure out which phylum this little critter belonged in- but the internets saved me, of course.
Here is another picture where you can see it more clearly. It's the Scotoplanes globosa in the middle column about halfway down.
Lastly, a shout-out to the new Sant Ocean Hall at the Smithsonian National Museum of Natural History, where I took almost 200 students on a field trip today, and where the "sea pig" was sighted. It's a great exhibit and 1.5 hours was not nearly enough time to see it all in detail- I plan to go back and I highly recommend it if you are in the area!