Pi Day is held on 14 March because in the decimal form of pi (sorry, I can't find the symbol on my keyboard!) 1, 3 and 4 are the most important numbers - so we take the 14th day of the 3rd month to celebrate this. It is also Einstein's birthday, which makes it even better.
It is quite a new commemorative day, as it was only first proposed in 1988, making it 25 years old today. It was the idea of physicist Larry Shaw, who was working at the San Francisco Exploratorium at the time. In the first celebration, people marched in a big circle to celebrate pi as the calculation of the area of a circle, and then of course they ate a lot of pie (apple ones, I think).
The big circular parade and pie-eating is still held today, and you can learn more about it and follow the events here.