Muharram is the month with which the Muslims begin their lunar Hijrah Calendar. It is one of the four sanctified months about which the Holy Quran says, “The number of the months according to Allah is twelve months (mentioned) in the Book of Allah on the day in which He created heavens and the earth. Among these (twelve months) there are four sanctified”.
The start of this month signifies the Hijrah (Migration) of the prophet (SAW) from Makkah to Madinah, to start the next chapter in Islam.
It's a great opportunity for us to take a moment and reflect upon what the Hijrah of the prophet (SAW) and the great sacrifice that he and his companions offered for Islam. And also reflect upon the Hadith of the prophet (SAW) when he said “obeying and worshipping Allah during the times of fitnah (affliction) is a migration to me”, so there is still an opportunity to migrate with the prophet (SAW) and that's obeying Allah and his messenger during these time.
In terms of blessed worships during this month, The Holy Prophet (SAW) has said: “The best fasts after the fasts of Ramadan are those of the month of Muharram.”
Also there is the day of Ashurah, Although the month of Muharram is a sanctified month as a whole, yet, the 10th day of Muharram is the most sacred among all its days.
Abu Qataada has related that the Prophet has reported to have said, it is my thought that by fasting on the 10th of Muharram Allah will pardon the sins of the past year. (Tirmidhi)