According to the tradition, Lucia (whose name means "light") was martyred in Sicily around 310 A.D., during one of the last major periods of Christian persecution before Constantine became emperor and legalized Christianity a few years later. Several centuries later, when Christianity spread to Northern Europe, her story and name took on special meaning there, because she represents light during the darkest time of year, around the winter solstice.
To this day in Scandinavia, she is remembered on her feast day through festivals where a person - oftentimes a young girl - will be dressed in a white dress and red sash with a crown or wreath of candles on her head. The person representing Lucia will sometimes also carry rolls and cookies in procession as songs are sung.
As I have written about before, the number of people who still attend worship in Scandinavia has dwindled drastically in recent decades. But, there are still signs of light in the darkness, and the continued celebration of Santa Lucia is one of them. Here is a video of a beautiful rendition of "O Come, O Come, Emmanuel" sung at the Lutheran Cathedral in Stockholm, where you can see some of the traditions associated with the Santa Lucia festival.