Who knew Groundhog Day was such an ancient holiday? About.Com claims it is a pagan festival turned into a Catholic holiday transformed by Americans into its current incarnation, but in fact Groundhog Day goes back much further.
The Romans deserve the real credit, celebrating a Hedgehog Day at the beginning of February in which they’d observe a hedgehog coming out of its burrow at night. If the hedgehog saw its shadow (i.e. there was a full moon) then that meant there was six more weeks of winter. There are definitely similar folk beliefs about the Catholic Candelmas, but they were probably a transformation of the Roman traditions rather than the other way around.
There not being hedgehogs in North America, German immigrants apparently settled on the groundhog as a close enough substitute.
Personally, though, I think Groundhog Day has become overcommercialized. The real meteorological reason for the season gets lost in the commercial madness that the holiday has become.