Lord Shiva appeared in the form of Bhairav on an auspicious day of Margshirsha Krishna Paksha.
Bhairav ashtami is also knows as Kaalashtami and therefore, Kaalashtami fast is observed on this day. By worshipping Lord Shiva in the form of Bhairav nath, one can get relief from all the sins and sufferings in his life. It is also believed that all the wishes of the devotee gets fulfilled by worshipping Bhairav nath if done with full faith and dedication. It is considered fruitful to observe fasts and worship Lord Bhairav with proper rituals on the day of Bhairav ashtami. According to the Shastras, worshipping Kaalbhairav on this day gives desired results.
Lord Bhairav nath has the knowledge of tantra-mantra and is himself a Rudra. Shivapurana has mentioned Bhairav as another form of Lord Shiva. He is the one who created and nurtures the universe. The one who comes under his shelter gets relief from all the sufferings in life. Bhairav nath always protects his devotees.