It's a gift giving game, similar to Secret Santa, except that the gifts are distributed randomly, in a random order, and instead of opening a new gift on your turn you can choose to steal a gift that's already been opened by another person. Bringing gag gifts is kind of customary.
I've done a few of these. I kind of alternate between gifts that probably no one wants (ie. a garden gnome), and gifts that about half the people there could want and will probably get traded a few times (like whisky gift sets).
This year I actually ended up with my own gift, a box set of the first 4 ASoFaI books.