The celebration of Samhain (pronounced in proper Gaelic: "sow-in")
came from the Celtic peoples many centuries ago.
It's a time which is thought to be when the division between the living and the dead
was at its thinnest. Meaning denezins of the afterlife could communicate or even
cross over back to the land of the living.
The celebration of this day comes from trying to appease the dead.
(Below is a link to the origin of some of the practices of Halloween.)

Samhain, because of this thin veil, is also thought of as the best time of the year
for people to communicate with the dead, or cast certain spells if you're Druid or Wiccan.

The word "Halloween" means "All Hallow's Eve." This comes from the fact that the early Christian Church, wanting to usurp the ancient Celtic holiday while also instilling itself into the time of celebraction, placed All Saints Day immediately following Samhain as a celebration for their own martyrs. A very holy day by intent. But like all major holidays celebrated in the Western World, the Christian holidays didn't replace or drown out the original ancient holiday it sought to diminish, but instead was itself swallowed up by ancient practices.