The first Sunday of Advent marks the beginning of a new year on the Church's Liturgical calendar. We light the first candle on the Advent wreath, which counts the number of Sundays until the Feast of the Nativity of Our Lord (Christmas Day).
There are debates about the origins of the Advent wreath.. some say it is a German Lutheran tradition, some argue a German Catholic tradition. Personally, it makes no difference to me. Lutherans share some Liturgical similarities with Catholics, so it would be natural for our two traditions to share this symbol of Advent.
Originally, it is said, the colors of the candles on the wreath were all red. This practice is still maintained in Germany... and even the Holy Father's Advent wreath used all red candles last year (he being from Bavaria). It was some time later that the candles of the wreath corresponded to the liturgical colors of the Sundays of Advent to bring an even closer association of the holiday symbols with the Mass.