Baking Day is like a cookie swap, only most of the baking happens on that same day, too. Whoever is hosting invites a bunch of people over, and for several hours, we all get our holiday baking done and out of the way. At the end, it works like a cookie swap. Everyone takes a few cookies (or bars, or candies -- the selection always changes based on what people feel like making) and can do what they want with them from there.
I use Baking Day as an excuse to put together a couple of trays of treats as gifts for people like my boss and building super. And I often make one extra tray that becomes the gift for the person who I plum forgot to get a gift.