In the Liturgical year, the first day of Lent. The Jewish and Christian scriptures mention prayer and repentence while fasting and being covered in ash and sackcloth; so, the Catholics started marking the beginning of Lent by putting ash on their foreheads. It's a tradition that extends back about 1,000 years. The ashes are made from the burnt palm branches used on Palm Sunday of the previous year.
Although it's not a holiday of obligation, Catholics flock to mass on Ash Wednesday to get their ashes and begin lent. Although many prayers are now used when the ashes are being administered, the old-time prayer everyone knows is:

Remember Man that you are Dust
And unto Dust you shall return.