NOTE: Purim 5775 starts Wednesday night, March 4, 2015, and continues until sundown on Thursday.
The Book of Esther is the last book in history that is part of the Tanach (the Bible). It teaches us how to behave in a world where G-d is no longer revealed directly but where He continues to supervise His world even though He is hidden from view.
The Megillah is the story of Esther, almost with the appearance of a show in a theater, where the main character is hidden underneath the surface. We can even say that the whole concept of the Jewish theater began with Purim plays.
What saved us on Purim is that we resisted Haman's idea that we are dispersed by organizing into communities, as we advise Bnei Noach around the world to do. A community gives the strength and power to stand up against external influences. In addition, Purim gives us an opportunity not only to enhance our mutual companionship, but also to ask the Holy One, Blessed be He, for exceptional requests.