For obvious reasons, it falls just nine months before the Feast of the Nativity. It is a reminder of the Incarnation, of God's willingness to to take on human flesh, in order to buy it back from sin, death and Hell. Ancient Christians also identified March 25 as the date of the Creation and of the Crucifixion -- tying up much of God's work in a single package.
We all celebrate in our own ways. Zuhlsdorf has posted the old and new Collects of the Roman Rite, which are well worth a read. If not leading a public service, one might celebrate by saying the Angelus. And of course, as a feast, it is arguably an opportunity to relax one's Lenten discipline.
The editors of Lutheran formularies, for their part, have historically chosen to celebrate by providing a collect (used after comunion in the Gelasian sacramentary) which fails to mention the Virgin Mary. To whom, we hasten to point out, the Incarnation was actually announced. For pity's sake.