In the religious sense: It celebrates the survival of the Persian Jews, thanks to Queen Esther.
In celebration: It's kinda like a Jewish Halloween. People dress up and celebrate, lots of temples have Purim carnivals and people make Hamantashen (triangular pastries)
http://upload.wikimedia.org/wikipedia/commons/c/cb/Homemade_hamantaschen.jpg

Purim is not a biblical holiday, but it's still strongly practiced by all the Jews. This special and unique holiday was introduced to Jews by Mordechai with Esther and the great sages of that time. It's observed on the fourteenth day of the Hebrew month of Adar. But in Jerusalem it is observed on the fifteenth day of the month. The festival commemorates the saving of the Jewish people living throughout the ancient Persian Empire from a plot by Haman to kill all men, women and children. Reading the book of Esther where the whole story is described is the major part of the festival. Sending gifts of food to friends, giving money to the poor, drinking wine and dressing up are also part of this celebration. The next Purim will be observed on March 8, 2012.

Source: http://www.orthodox-jews.com/jewish-religious-holidays.html

"It is a festival that commemorates the deliverance of the Jewish people of the ancient Persian Empire from Haman's plot to annihilate them, as recorded in the Biblical Book of Esther (Megillat Esther). According to the story, Haman cast lots to determine the day upon which to exterminate the Jews.

Purim is celebrated annually according to the Hebrew calendar on the 14th day of the Hebrew month of Adar (Adar II in leap years), the day following the victory of the Jews over their enemies; as with all Jewish holidays, Purim begins at sundown on the previous secular day. In cities that were protected by a surrounding wall at the time of Joshua, including Shushan (Susa) and Jerusalem, Purim is celebrated on the 15th of the month, known as Shushan Purim. Purim is characterized by public recitation of the Book of Esther (keriat ha-megilla), giving mutual gifts of food and drink (mishloach manot), giving charity to the poor (mattanot la-evyonim), and a celebratory meal (se'udat Purim);other customs include drinking wine, wearing of masks and costumes, and public celebration."

Purim is a Jewish festival that celebrates the survival of Jews who were marked for death in Persia in the 5th century BC. This story is told in the Old Testament Book of Esther. It literally means "Feast of Lots."