All Souls Day is a day when Roman Catholics and Anglo-Catholic churches commemorate the 'faithful departed' or those who died being close to God. It always occurs November 2nd.
It is celebrated by praying for those souls who are still in Purgatory - a place in which those who have died pay for minor sins before being granted the vision of God in Heaven. This is a national holiday in Brazil so that most can pray for those they love.
It started as a practice of French monks who thought it respectful to honor those who have died and not abandon them because they are in Purgatory. The tradition took momentum and became a holiday in most Catholic countries.