Triskaidekaphobia is the fear of the number 13, or anything occurring in groups of 13. It is believed that this phobia is of Sicilian origin. Because of this phobia, many people believe Friday the 13th to be a day of bad luck. There is also a fair amount of historical/mythological "proof" backing up some of the superstition surrounding this number, and even the day Friday the 13th.
One of the first recorded religious occurrences of this number/day can be seen in the Muslim religion. Many Muslims believe that Allah created Adam on a Friday. Then, it was on a Friday that Adam and Eve ate the forbidden fruit. Finally, it is believed that Adam and Eve died on a Friday.
Those of the Christian faith believe Friday to be an unlucky day as well, for it is believed that Jesus was crucified on a Friday by the Romans. Also, at the Last Supper, there were 13 people seated at Jesus' table.
In Scandinavian mythology, the number 13 is believed to be unlucky because there were originally 12 gods. However, a thirteenth god was introduced, Loki, who proved to be evil.
A more historical occurrence of this number happened on October 13, 1307, a Friday. It was on this day that a death warrant was issued by Pope Clement V and King Edward of France on the Knights Templar. The Knights were arrested and executed as heretics.
Sources:
http://www.sicilianculture.com/folklore/triscadecaphobia.htm