Since it's the single biggest shopping-day of the year, it's supposed to be the day that finally puts many retailers "into the black", where they've made more money than they've spent on the business that year. (If they spent more than they made, they're "in the red".) Also it's a bit of a pun, since for many shoppers it's a crazy and exhausting and long day that people might not be looking forward to, so a dark or 'black' day on the calendar.
ETA: Corrected by +Phil Nolan
further down. Serves me right for not hitting Wikipedia first anyway! I always thought that 'in the black' story seemed a bit odd... http://en.wikipedia.org/wiki/Black_Friday_(shopping)