Could be many things.
You can take it to most parts stores and they'll usually run a scan for free. Better yet, pick up a bluetooth OBD2 scanner. I have
and it works great. It tells you everything you need to know, including what error code is causing the CEL to stay on.
They are cheaper than a full handheld unit, but I have never used a handheld one so I can't say how they compare feature wise.