Þorri is one of the old Icelandic months, which always begins on a Friday, between the 19th and the 25th of January, and ends on a Saturday between the 18th and 24th of February. The first day of Þorri is called Bóndadagur ("Husband's Day/Farmer's Day"), and is dedicated to men (formerly only farmers). On that day, the women bring the men breakfast in bed on this day, and sometimes give their husbands flowers as well.
The tradition of a feast during Þorri has its roots the old midwinter feast, Þorrablót. This month falls during the coldest part of winter, and thus Þorri is seen as an tall old man, the personification of Winter. It has also been suggested that this month is named after a legendary Norwegian king; the name is also sometimes (incorrectly) said to be derived from the name of the Norse god Thor. The feast today has become a traditional part of the Icelandic calendar, a time when Icelanders celebrate their national heritage and eat traditional foods. Since the feast takes place in winter, most of those foods are preserved by pickling, salting, smoking, drying, or putrefying (yes, that's right, rotting!)
The Þorrablót can take place at any time during Þorri, preferably on a weekend to allow for sufficient feasting and carousing. The chief elements are lots of food and fun, and sometimes entertainment, dancing, and lots of booze. Typical foods for a Þorri feast begins with traditional appetizers of shark meat which has been prepared by being buried for several weeks or dried fish which has been beaten to soften it (yum!), both of which are best washed down by a shot of cold Brennivín (caraway schnapps), locally known as Svartidauði ("Black Death"). It has been said that a shot or two of this liquor will make anything taste okay. For those modern folk too weak for tradition, there might also be pickled herring or smoked salmon. The main courses are usually made from lamb or mutton and are divided into two main categories: sour (i.e., pickled in whey) and not-sour.
I've heard there is a group called the League Against Spoiled Food, which works to end the eating of whey-pickled food. They're lucky they weren't born in Iceland a few centuries ago, when that sort of thing would have been all they would have had to eat in winter-time.
As for me, a shot of aquavit and some pickled herring seems a good way to celebrate the start of Þorri (though down here in Texas, the winter is the good weather).