There is a Mexican saying that we die three deaths: the first when our bodies die, the second when our bodies are lowered into the earth out of sight, and the third when our loved ones forget us. Catholics forestall that last death by seeing the faithful dead as members of the Church, alive in Christ, and by praying for them -- and asking their prayers for us -- always.
All Soul's Day is a Roman Catholic day of remembrance for friends and loved ones who have passed away. This comes from the ancient Pagan Festival of the Dead, which celebrated the Pagan belief that the souls of the dead would return for a meal with the family. Candles in the window would guide the souls back home, and another place was set at the table. Children would come through the village, asking for food to be offered symbolically to the dead, and then donated to feed the hungry.
The importance of All Souls Day was made clear by Pope Benedict XV (1914-22), when he granted all priests the privilege of celebrating three Masses on All Souls Day: one, for the faithful departed; one for the priest's intentions; and one for the intentions of the Holy Father. Only on a handful of other very important feast days are priests allowed to celebrate more than two Masses.