I'll admit that this is a bit late since All Souls Day was November 2nd, but the need to pray for those who have died never goes away. Purgatory isn't a popular concept today. I would venture to say that most people who believe in an after-life feel that upon death a person's soul goes immediately to heaven. A smaller number would acknowledge that some might go to hell. Purgatory is a waiting place for those who have died but who have not reached the level of perfection needed to go to heaven.
The "Catechism of the Catholic Church" teaches that "all who die in God's grace and friendship, but still imperfectly purified, are indeed assured of their eternal salvation; but after death they undergo purification, so as to achieve the holiness necessary to enter the joy of heaven." (CCC 1030)
"From the beginning the Church has honored the memory of the dead and offered prayers in suffrage for them, above all the Eucharistic sacrifice, so that, thus purified, they may attain the beatific vision of God. The Church also commends almsgiving, indulgences, and works of penance undertaken on behalf of the dead." (CCC 1032)
Some saints have had visions of purgatory, among them St. Faustina and Padre Pio. From their witness, we know that it exists. It is a place of longing, for those who are there know that they will ultimately get to see God, but for the moment they are denied that joy. This is why we offer masses for the dead and say prayers for the dead - to help hasten their ascent into heaven. Padre Pio told of souls coming back to thank him after they had reached heaven for the prayers and masses he had offered. If the particular person we are praying for has already gone to heaven, our prayers will be applied to someone else still waiting. Our prayers are never wasted.
I'm including some links to books about purgatory if you are interested in learning more: