In Irish, Samhain is the word for the month of November. Other months named after Celtic festivals are Bealtaine (May), Lúnasa (August) and Nollaig (December).
The festival of Halloween is called Oíche Shamhna in Irish, which means "Samhain's Eve", i.e. the night before Samhain.
Cletus the Foetus: I would pronounce the word more like sow-when (sow as in pig). In Irish, where 'mh' occurs between two vowels, it is generally soft, like a 'w', or a very soft 'v'. It is only pronounced as a hard 'v' when it occurs at the start of a word, and even then some dialects soften it out of existence. Of course, Irish dialects are so varied it's hard to say any of this with certainty.