The story
Yama, the god of death, visited his sister Yamuna on this day after long years apart. She welcomed him with a lamp and a tilak and fed him, and he granted that any brother who visited his sister on this day and ate at her home would not fear untimely death. Another story says Krishna visited his sister Subhadra on this day after killing Narakasura, and she welcomed him with a tilak.
How it is celebrated
Brothers go to their married sisters' homes. The sister makes a square of rice flour, seats her brother on it, applies a tilak of kumkum and rice, performs aarti, ties a thread in some regions and feeds him his favourite food. In Bengal the sister says a rhyme as she puts the sandal mark (phonta) on his forehead, asking that Yama's door be closed to him. In Nepal sisters give their brothers a seven-coloured tika and a garland of flowers that do not wilt. Brothers give gifts and promise their protection.
Sisters without brothers worship the Moon as their brother, and those far away send their blessing.
Bhai Dooj and Raksha Bandhan
Raksha Bandhan and Bhai Dooj both celebrate brothers and sisters, but differently. On Raksha Bandhan the sister ties a thread of protection on her brother; on Bhai Dooj the brother comes to his sister's home and she puts a tilak on his forehead and feeds him, praying for his long life. Raksha Bandhan falls on the full Moon of Shravana, Bhai Dooj two days after Diwali.