Here's a good primer on the Season of Advent in the Western church: The Season of Advent: Anticipation and Hope. There are links at the right for devotionals, including an Advent calendar in the shape of a Christmas tree with daily readings. Check out the essay about the word "Xmas," which infuriates some people.
Advent is also the beginning of the Liturgical Year.
If you have an Advent wreath it is customary to light the first candle tonight. Traditionally that is a purple candle, although some churches now use blue.
Incidentally, I was so busy I forgot to note Martinmas this year. Here's a nice Wikipedia primer on St. Martin's Day.
Here's a nice piece on the First Sunday of Advent from the Archdiocese of Washington.
Word on Fire's Sermon for November 27.