Upon The Feast Of The Presentation Of Mary And Of The Presentation Of Christ In The Temple

Dr. Michael Foley of Baylor University clears up the confusion:

Groundhog Day is the day when the groundhog wakes up and sees his shadow, or doesn't see his shadow, and if he sees his shadow, he has more winter, and if he doesn't see his shadow, he has an early Spring. What most people don't realise is that this custom actually comes from Candlemas, which is the Feast of the Presentation of Our Lady, the Purification of Our Lady in the Temple, 40 days after she gave birth to Jesus, she presented Jesus in the Temple, and in former days, this was a very big festival, and there was a folk custom that the weather on this day had a particularly prognostic value. If you could see your shadow on this day, it signified more winter.

This had to do with the theme of light on the Feast of Candlemas, and it was the Germans who amended this folklore for badgers. If a badger could see his shadow, then there would be more winter. But when the German immigrants came to the United States they couldn't find any badgers; instead they found an animal that they'd never seen before, called the Groundhog, and that's where we get the custom.

And speaking of Bill Murray, if you get the chance when she's ever around, you should check out Bill Murray's sister, a Dominican who does one-person plays based on the life of Catherine of Siena.