Today is תענית אסתר, pronounced Ta'anit Ester. Ta'anit means fast - so it is the fast of Esther today. It comes from Megillah (Book) of Esther. Esther and the Jewish people fasted while Ahasuerus (אֲחַשְׁוֵרוֹשׁ), the king of Persia, was in charge and Haman was pretty influential.

It is a very long story - you can learn about it at Wikipedia.

In short, today we fast - do not eat, to commemorate Esther's fast. In fact, the true fast is this Saturday, but since Saturday is Shabbat, we push the fast forward to today, Thursday. Most fast days, if they fall out on Shabbat, we do not fast - but some we do.

Also check out http://en.wikipedia.org/wiki/Fast_of_Esther.

Purim (פורים) follows תענית אסתר where children (and some adults) dress up, drink, eat a big meal, give friends presents and give the poor food and money. More on Purim, on Purim (this Sunday).