It is a mitzvah to eat and drink heartily on Erev Yom Kippur. Our Sages write: The Torah (Leviticus 23:32) states: And you shall afflict your soul on the ninth of the month in the evening.
Do we fast on the ninth? We fast only on the tenth! This comes to teach us that all who eat and drink on the ninth, and fast on the tenth, are considered by Scripture as if they had fasted on both the ninth and the tenth.
The reason why eating on the ninth is considered so great a deed that it is equivalent to having fasted, is that by doing so, we show our joy that the time for our atonement has arrived. By extension we thus show that we are concerned with our sins.
On other Festivals we partake of fixed meals as a means of expressing our happiness in having the opportunity to fulfill mitzvot. This joy is in itself a source of merit. Since we cannot partake of a festival meal on Yom Kippur, we do so on the day before Yom Kippur instead. The festive meal on Erev Yom Kippur provides us with the physical strength needed on Yom Kippur to focus ourselves on prayer, supplication, and reflection that will lead us to teshuvah.
It is customary to eat fish at the morning meal on Erev Yom Kippur.
The Midrash (Bereshit Rabbah 11) recounts:
"R. Tanchuma taught: It once happened in Rome on Erev Yom Kippur that a Jewish tailor went to the market to buy fish. There was only one fish available, but there were two buyers: the tailor and the servant of the Roman governor. Each offered a progressively larger sum until the price reached twelve dinar, which the tailor paid."
When the Roman governor asked the tailor why he was willing to spend that much money on a fish, he responded "Sir! We have but one day during which all the sins that we commit throughout the year are atoned for. Shall we not honor that day when it comes?" The governor replied: "Since you have explained your behavior, you may go." A miracle happened for this tailor and a jewel was discovered inside the fish which supported him for quite some time.
We do not however eat like gluttons on this day, instead we eat many small meals as the day goes on.
In some chassidic circles there is a custom to eat 'Lekach' honey cake on erev Yom Kippur too.