The Legend
The legend has it that when Lord Shiva's consort Sati committed herself to fire due to disgrace shown by her father Daksha to Shiva, Lord Shiva became extremely sad. He renounced his worldly duties and went into deep meditation.

Meanwhile, the daughter of the mountains, Parvati started meditating to acquire Shiva as her husband. Moreover, since Shiva was least interested in the affairs of the world complications began to generate in matters of the world which made all the gods concerned and afraid.

The gods then seeked the help of Lord Kaamadeva, the god of love and passion to bring Shiva back to his original self. Kaamadeva knew that he might have to suffer the consequences of doing this, but he accepted to shoot his arrow on Shiva for the sake of the world.

As planned Kaama shot his love arrow on Shiva while he was in meditation. This made Shiva extremely angry and he opened his third eye - reducing Kaamadeva to ashes. However, Kaamadeva arrow had the desired effect and Lord Shiva married Parvati.

A short while after this, Kaamadeva's wife, Rati pleaded Lord Shiva and said this was all the plan of the gods and asked him to to kindly revive Kaamadeva. An embodiment of love himself, Lord Shiva gladly accepted to do so.
Thus the incident had a happy ending for all.

The Celebrations
It is believed that Lord Shiva burned Kaamadeva on the day of Holi. 

Down south people worship Kaamadeva-the Love-god for his extreme sacrifice on the day of Holi. 

Kaamadeva is depicted with his bow of sugarcane having the string of a line of humming bees and his arrow-shafts are topped with passion that pierce the heart. The deity is offered mango blossoms that he loved and sandalwood paste to cool off the pain of his fatal burns. Songs are also song in which Rati's sorrow is depicted.