If you've never heard of it, don't feel alone - I hadn't either, until I received an e-mail about it from a friend who's currently visiting Chiang Mai, a city in northern Thailand. She writes:
You wouldn't believe the festival of floats and lights currently under way. Locally it's called Yi Peng, but across Thailand it's more widely known as Loy Krathong. It's a Buddhist adaptation of the Hindu Festival of Lights, or Diwali, as far as I can tell.
Part of the tradition is to release floats into the river, called krathongs, made of banana wood or leaves, and bearing lanterns (usually a candle in a paper lantern, but sometimes more elaborate affairs). This venerates the Buddha, and is also supposed to symbolize letting go of everything negative or evil in your life, allowing it to float away with the lantern on the waters of the river. It's a sort of spiritual release and regeneration, I guess.
Another part to it is the release of paper lanterns. You're supposed to make a wish as you release your lantern, and it'll be carried to the heavens along with all the other wishes made at the festival. It can also carry your worries and cares, just like the krathong in the river.
Curious, I did a bit of Internet searching on some of the terms she used. I've linked key words to articles giving more details. I also found several pictures on Wikipedia, which I've inserted into her text, and this video of the release of lanterns in Chiang Mai (a custom which seems more limited to that area, unlike the rafts or krathongs, which are released all across Thailand.)
Lovely, isn't it?