First, consider how the day after Thanksgiving earned its designation as the official start of the holiday shopping season. Popular theory points to the traditional Thanksgiving Day parades which often include an appearance by Santa Claus at the end of the parade. In the late 19th and early 20th centuries, many Thanksgiving Day parades were sponsored by department stores, which would use the parades to launch their annual Christmas advertising campaigns. And with many non-retail employees given the day off as part of their Thanksgiving leave, all of those parade watchers had a chance to get a head start on their Christmas shopping.
The term Black Friday originated in Philadelphia in the mid-1960s, as a nickname Philadelphia police gave to the day after Thanksgiving, when heavy vehicle and pedestrian traffic made for massive traffic jams and overcrowded sidewalks as shoppers mobbed the popular downtown area to get a start on holiday shopping. The phrase began to appear outside of Philadelphia around 1975, and an alternative explanation became popular: that Black Friday became the turning point in which retailers showed a profit for the year, going from "being in the red" to "being in the black."
Either way, the name has stuck, and has become synonymous for big sales and even bigger crowds on the day after Thanksgiving!