Februalia, January 30 - February 2:
The ancient Romans had a festival for nearly everything, and if you were a god, you almost always got your own holiday. Februus, for whom the month of February is named, was a god associated with both death and purification. In some writings, Februus is considered the same god as Faun, because their holidays were celebrated so closely together.
The festival known as Februalia was held near the end of the Roman calendar year -- and to understand how the holiday changed over time, it helps a bit to know the calendar's history. Originally, the Roman year had only ten months -- they counted out ten months between March and December, and basically disregarded the "dead months" of January and February. Later, the Etruscans came along and added these two months back into the equation. In fact, they planned to make January the first month, but the expulsion of the Etruscan dynasty prevented this from happening, and so March 1st was considered the first day of the year. February was dedicated to Februus, a god not unlike Dis or Pluto, because it was the month in which Rome was purified by making offerings and sacrifices to the gods of the dead. Our Guide to Ancient History, N.S. Gill, has some great information on the terminology found in the Roman calendar.
At any rate, because of the association with fire as a method of purification, at some point the celebration of Februalia became associated with Vesta, a hearth goddess much like the Celtic Brighid. Not only that, February 2 is also considered the day of Juno Februa, the mother of war god Mars. There is a reference to this purification holiday in Ovid's Fasti, in which he says, "In short, anything used to cleanse our bodies went by that name [of februa] in the time of our unshorn forefathers. The month is called after these things, because the Luperci purify the whole ground with strips of hide, which are their instruments of cleansing..."
Februalia was a month-long period of sacrifice and atonement, invovling offerings to the gods, prayer, and sacrifices. If you were a wealthy Roman who didn't have to go out and work, you could literally spend the entire month of February in prayer and meditation, atoning for your misdeeds during the other eleven months of the year.