The pilgrims in The Canterbury Tales are going on a pilgrimage (a religious journey to a holy place). The place that they are going is Canterbury Cathedral, the location of the martyrdom of Thomas Becket. (A martyr is a person who is murdered for his or her religious beliefs.) Chaucer named his work The Canterbury Tales because of the destination of the journey, and because the pilgrimage is the reason that these people came together in the first place. They each tell their tales while the group moves toward the cathedral.
Thomas Becket was the Archbishop of Canterbury who was killed in the cathedral by knights of Henry the II in 1170 AD. Henry II had appointed Thomas Becket to be the Archbishop of Canterbury because the two of them were friends and Henry thought that Thomas would do what he said; however, Thomas was more devout than Henry realized, and would not just be Henry's mouthpiece. Henry II most likely did not want Thomas killed, but his knights misinterpreted his words and galloped off to Canterbury where they allegedly killed Thomas while he was praying.
The pilgrims in The Canterbury Tales are going on the type of religious journey that would have been common for Christians in England during the late 1300s.