On All Souls Day, we not only remember the dead, but we apply our efforts, through prayer, almsgiving, and the Mass, to their release from Purgatory. There are two plenary indulgences attached to All Souls Day, one for visiting a church and another for visiting a cemetery. (The plenary indulgence for visiting a cemetery can also be obtained every day from November 1-8, and, as a partial indulgence, on any day of the year.) While the actions are performed by the living, the merits of the indulgences are applicable only to the souls in Purgatory.
Praying for the dead is a Christian obligation. In the modern world, when many have come to doubt the Church's teaching on Purgatory, the need for such prayers has only increased. The Church devotes the month of November to prayer for the Holy Souls in Purgatory, and participation in the Mass of All Souls Day is a good way to begin the month.