…the European Celts believed that animals had certain supernatural powers on special days that were half-way between the Winter Solstice and Spring Equinox. Folklore from Germany and France indicated that when marmots and bears came out of their winter dens too early, they were frightened by their shadow and retreated back inside for four to six weeks*…
Another possible inspiration for Groundhog Day is the Roman celebration of Hedgehog Day. A day in which Romans believed a hedgehog seeing its shadow would also forecast 6 more weeks of winter.
UPDATE: Punxsutawney Phil has seen his shadow this morning. 6 more weeks of winter.
Famous US groundhogs: Punxsutawney Phil, Staten Island Chuck, Wiarton Willie, Shubenacadie Sam and General Beauregard Lee
*source: wikipedia: Groundhog Day