October 31, All Hallows Eve or Halloween was originally set aside as a day to celebrate the deaths of Christian martyrs.
However, as time went on, the day changed. It was the night before the Celtic Harvest Festival when the souls of the dead were said to come back to earth to revisit their homes and eat there. In response to this, people put food on their tables and left their doors unlocked.
When Halloween became a Christian festival, the connections to the supernatural continued. It was believed that certain people had the ability to summon spirits and perform magic.
It was also a night for rituals and divination and other superstitious activities, such as a girl combing her hair three times in front of a mirror in hopes of seeing her future husband.
Lanterns were made out of swedes and turnips with faces carved in the side and were then kept lit from dusk until dawn.
It was also a night for mischief. Children disguised themselves as witches and ghosts, and knocked on doors, demanding a treat from the scared home owners. Hence the origin of our trick or treating.
Sources: http://englishculture.allinfoabout.com/features/halloween.html
http://www.newadvent.org/cathen/01315a.htm