To add to What's News' answer (which was very helpful & ultimately answered your question better than I am going to - about why it's called "Black Friday"), it's a day in which stores have deals that start extremely early. As in, they do not open at the normal hours. Instead, they may open at 3, 4, 5, or 6 am. Some stores, this year, have decided to "up the ante" and open at 10 pm on Thanksgiving, or midnight. Most stores have limited deals (they may have 2 or 3 of an item). People will wait in lines for hours, and sometimes days, for the doors to open, in order to get a discounted item.
I'm on the fence about Black Friday. I find it ridiculous that some people will camp out for a few days (in front of a store) in order to get a deal. Others will lose sleep and/or skip work to save a bit of money. Yes, there are some things (and it's all a matter of perspective) that may be worth getting only a few hours of sleep and our economy isn't the greatest & saving money is important, but all-in-all, there's more hype about Black Friday than there is about Thanksgiving.
My mother is a nurse. The hospital she works for has now declared Black Friday a holiday, but has decided that Easter (a religious holiday here) is no longer a holiday... It's sad.