The burning of Zozobra is a tradition in Santa Fe, New Mexico during the Fiesta weekend that takes place each year the weekend after Labor Day.
Zozobra started in 1924 when Will Shuster, a well-known artist in the Santa Fe area built a small man and lit him on fire during the Fiesta celebrations. "His inspiration for Zozobra came from the Holy Week celebrations of the Yaqui Indians of Mexico; an effigy of Judas, filled with firecrackers, was led around the village on a donkey and later burned." (Source: http://www.zozobra.com/history.asp) The word "Zozobra" is Spanish for "the gloomy one".
Burning Zozobra became an official part of the Fiestas in 1926; the burning of Zozobra is symbolic of letting all of your gloom and anxiety burn. Each year, people write their gloom on little pieces of paper, and much of it is used as stuffing for the giant monument.
In modern times, Zozobra stands over 50 feet tall, suspended from a metal framework. Each year, several thousand people pay to come see him burn. Using wires, Zozobra's arms move like a giant puppet. Before he begins to burn, he moans and groans and waves his arms menacingly.
Zozobra is also a point of debate in the Santa Fe area. It is a major event among the population of the city, and many people get ragingly drunk during the celebration. Every year there are several fights, and occasionally people are killed. Many people, particularly the spiritualists who come to Santa Fe for the unique and New Age environment, think that Zozobra and perhaps all of Fiestas should be shut down. Also, at each Zozobra celebration, there are always radical Christian groups declaring the ritual Icon-worship, Devil worship, and Paganism.