There are a few different theories as to why it's called Black Friday. One comes from Philadelphia in America. The local police are said to have coined the term when planning ahead for the heavy traffic coming into towns and cities. Back then there would have been more in-store purchases as people came to get their Black Friday deals in person.
Another popular theory is that the name comes from bookkeeping. When a company is in debt, their accounts are in the red. When a company is in profit, they're in the black. The demand for Black Friday deals could be so big that many retail stores would finally see their yearly accounts go into the black.