Supposedly, if he sees his shadow he gets scared and runs back into his hole. Though now a days it is just a PR event for the town and they decide in advance weather or not he's going to see his shadow and you never really get to see him immerge from his hole. You can't really make a groundhog immerge from his hole on cue.
It is thought that if Feburary starts sunny winter will be prolonged because High Pressure Systems that come south from Canada often bring sunny skys but also cold tempratures. It has a basis in reality, but weather or not the statistics bare it out I don't know.