Shrove Tuesday is the day preceding Ash Wednesday, the first day of Lent. (Shrove Tuesday is a moveable feast which is determined by Easter.)
Pancakes are associated with Shrove Tuesday because they were a way to use up rich foods such as eggs, milk, and sugar. The liturgical fasting of the 40 days of Lent emphasizes eating plainer food and refraining from food that would give pleasure: in many cultures, this means no meat, dairy products, or eggs.
The word shrove is the past tense of the English verb shrive, which means to obtain absolution for one's sins by way of Confession and doing penance. Thus Shrove Tuesday gets its name from the custom for Christians to be "shriven" before the start of Lent.
Shrove Tuesday is also the last day of "shrovetide," such as Mardi Gras in New Orleans, and the Carnival tradition that developed in Latin Europe and Latin America.