Celebrated: in the United Kingdom since 1605
The Gunpowder Plot was actually led by an English Catholic named Robert Catesby, but Catesby managed to flee London after word of Guy Fawkes' arrest. He was shot three days later, at the head of a small group of rebels under siege at Holbeche House in Staffordshire.
So why, then, is this called Guy Fawkes Day instead of Robert Catesby Day? Well, he was the first one captured and identified; he was in charge of the gunpowder; he pled "not guilty" in a well-publicized trial (while Catesby never got a trial, being dead); but most memorably of all, he defeated his executioners by jumping from the scaffold rather than waiting to be hanged, drawn and quartered.
That execution happened on January 31, 1606, but on the night of November 5, 1605, King James I encouraged his subjects to celebrate his safety by lighting bonfires. The bonfire tradition continues to this day, and often includes the burning of Guy Fawkes in effigy. Our use of the word "guy" to refer to any random man comes from these effigies; while the slang word originally meant an oddly-dressed person, it expanded to cover just about everyone.
James I, who was also James VI of Scotland, went on to rule Great Britain and Ireland for almost another 20 years, until he died of dysentery following a stroke at the age of 58. He oversaw not only the Golden Age of English literature, but also the beginning of the era of English colonization (the colony at Jamestown was named in his honor). He was also, not incidentally, the sponsor of the King James translation of the Bible. The Gunpowder Plot gave him an excuse to crack down hard on English Catholics, but he became more tolerant of both hidden Catholics and Puritans as his reign continued, which set things up nicely for the Civil War that deposed his son, Charles I, in 1642.