Samhain is a less common word for the Feast of All Hallows, which will take place tomorrow, November 1st. Today is known as Halloween because this literally means 'the eve of All Hallows'. Samhain has its origins in Pagan Celtic traditions and marks the Feast of the Dead. It's also considered by some Pagans to be the traditional end of the Celtic year. This particular time of year was once considered the time when the barriers between this world and the other world were at their flimsiest and thus the spirits of the dead could leave their regular domain to mingle with the living.
Samhain is an Irish Gaelic word (the Scottish Gaelic equivalent is Samhuinn). The mh of Samhain is pronounced like an English w (mh is sometimes pronounced like a v, particularly at the end of a word, for instance in the girl's name Niamh). The h in the spelling (which is a relatively new phenomeon - old Irish texts have a dot above the m) indicates lenition. In the process of lenition a sound undergoes a weakening - in this case, the m sound, which is a nasal stop (considered a strong sound) weakens to become an approximant (namely the sound w).
I looked at more Halloween words and traditions in this post of three years ago.