Holy Theophany is a celebration somewhat unique to the Eastern Church. Some Western churches do celebrate it in conjunction with Epiphany (also on January 6), but others do not. The distinction among us comes from the emphasis placed on the baptism of our Lord.
Epiphany is a Greek word meaning "to manifest" or "to appear." Usually, in the Western traditions, it celebrates the visitation of the Magi in addition to the baptism of Christ. In the East, however, it is bound up in Christ's baptism, which is why it is called "Theophany," meaning "appearance of God."
At Christ's baptism, the first earthly manifestation of the entire Trinity was revealed. As the Troparion of Theophany tells us:
O Christ our God, when Thou was baptized in the river Jordan
Worship of the Trinity was revealed
For the voice of the Father came forth to testify and name Thee His beloved Son
And the Spirit in the form of a dove, confirmed the truth of His Word
Wherefore, O Thou Who didst appear, and didst enlighten the world, Glory to Thee
The baptism of Christ has deep meaning for Christians. First, He bowed His head to receive from John the Forerunner, His unworthy servant, the baptism of remission of sins. Christ took on our sin so that we might take on His righteousness. Second, in doing so, He cleansed the waters, calling down the Holy Spirit and hearing the voice of the Father "this is My beloved Son, in Whom I am well pleased." Third, He changes the water from a mere washing of dirt from the flesh, into a baptism of rebirth and regeneration, as St. Peter tells us.
This is not to say that Jesus became "a sinner," but rather, as St. Paul says, the Father "made Him who knew no sin to be sin for us, that we might become the righteousness of God in Him." That is, Christ in entering the waters meant for our cleansing, cleansed the water Himself, taking on the form of a servant, that in entering the same water in baptism, we too might live in His righteousness. Baptism saves us not by mere symbolism or some transactional occurrence, but by the power of the Holy Spirit granted to us in baptism and chrismation, changing us as He changed the water. This is why the water that is blessed at Theophany is reserved -- set aside -- for our use as Christians. It is, truly, holy water.