It was St. Odilo of Cluny who first appointed one day every year to be set aside in a special manner for prayer for the faithful departed.

It happened that a certain religious belonging to France was returning home from Palestine, where he had gone to visit the places consecrated by the footsteps of Our Lord when He was on Earth. A tempest arose when crossing the Mediterranean Sea, and he was cast upon a desert island. There dwelt on this island a holy hermit who lived in a cave, conversing continually with God, and leading a life of austerity and penance. He received the stranger thus cast upon his island home with great charity, and when he learned that he was from France he suddenly said to him: "Do you know a certain abbey in France which is governed by a venerable Abbot named Odilo?"

"Yes," replied the stranger, "I know the Abbey of Cluny, and also the saintly Odilo; but how have you come to know him here in this solitary place?" - "There is," replied the hermit, "not far from this cave a deep chasm from which issue terrible flames. In the midst of these flames I have seen millions of souls suffering most agonising tortures for the faults they committed when on Earth. Wicked spirits are there by permission of God to increase their punishment, tormenting them without ceasing, until their expiation is completed. In the midst of the frightful cries that arise from the abyss, I heard the evil spirits complain, in words of the deepest rage and hatred, that many of these souls were snatched from them long before the time fixed for the termination of their punishment, and were led to Heaven in triumph by the prayers and alms of the faithful, and in particular by the prayers and penances of Odilo, Abbot of Cluny, and his religious. Wherefore I beg of you, in the name of God," continued the hermit, "to relate faithfully on your return to France what I have now told you, and to ask these pious and saintly religious, and the venerable Abbot Odilo, to continue their holy prayers and alms and even to augment them, that the happiness of the blessed in Heaven may be increased, and that the evil spirits may be confounded more and more".

On his return to his native country, this religious went to Cluny, and in the presence of Odilo and his community related what the hermit had told him. Then Odilo, to commemorate the event, and to increase in the hearts of those under his charge a greater devotion to the Holy Souls in Purgatory, appointed 2 November as a day when special prayers and Masses should be offered up for the repose of the faithful departed. This soon spread over the whole Church, and is known by the name of "All Souls Day".

The Catechism in Examples, Vol V, Pgs 145-146 by the Rev. D. Chisholm.