They are pilgrims. In the Middle Ages,it was customary for groups of people to travel together - safety in numbers to avoid robbers on the road - to various shrines around the country. There would be a monument to a saint, often with relics including bones that were supposedly from the saint's body, or a splinter from the 'true cross'. Having visited, and said their prayers, the pilgrims would be assured of a higher place in heaven, and a shorter stay in purgatory.
The shrine of St Thomas Becket in Canterbury was the most popular shrine in England. Pilgrimages were popular with the Church, as the souvenir and holy relic trade was very lucrative, and also popular with pilgrims, since their employers were obliged to give them time off for pilgrimages. Hence the jolly atmosphere of the Canterbury Tales - it was the nearst they ever got to a holiday!