National Coming Out Day is a day where closeted LGBT people are encouraged to come out. Despite the name, it's actually celebrated in several nations: Switzerland, Germany, Canada, Croatia, Poland, the United States of America, and the Netherlands on October 11; in the United Kingdom on October 12. Canadians are often frustrated with these dates because their Thanksgiving is celebrated around this time (and coming out on Thanksgiving is a bad idea).
It obviously is not mandatory, and I've never personally met someone who has come out on National Coming Out Day, but it gives frightened queer people a deadline they can hold themselves to. Sometimes the best way to get over something unpleasant or scary is to put it off until a set date; then when that date comes and nothing has changed, you can just force yourself to do it out of sheer anticipation. YMMV.
NCOD was started in 1988 by Dr. Robert Eichberg (a psychologist) and Jean O'Leary (a former nun). The day has been organized in the United States by the Human Rights Campaign since 2007.