I can only speak as a Catholic. Holy Thursday represents the Last Supper and Jesus washing the feet of the disciples. It is the day before Jesus was nailed to the cross and crucified. It is not a holy day of obligation to attend Mass, like Sundays, Christmas, Easter and a few other special days. It is also the time when young people and adults who were not baptized as infants and raised in the Catholic faith, but who have decided to join the Catholic church are received into the church. It is the culmination of several weeks where church doctrine is explained so that those wishing to become Catholic can make an informed decision.
I was raised as a Baptist and I do not recall having any Holy Thursday ceremonies. I believe some other faiths do observe Holy Thursday.