The first Groundhog Day was held in Punxsutawney, Pa., on this day in 1887. Held at the absurdly named Gobbler's Knob, it entails watching a groundhog (always named Punxsutawney Phil) come out of the ground once its hibernation ends and waiting for it to see its shadow. If it does, gets spooked, and runs back into the hole, there will be another month and a half of winter weather. If it doesn't, it means spring will soon be underway.
The first celebration happened because a newspaper editor claimed that a groundhog had such a superpower, part of a long tradition of attempts at weather prediction started by Candlemas, a holiday where spiritual leaders walked around handing out candles needed for light and heating. Germany apparently established a tradition of hedgehogs predicting the weather, which somehow got switched to another "-hog" in the U.S.
You can read more about the holiday at the website of the Punxsatawney Groundhog Club.