The term "Maundy" is a reference back to the Latin "mandatum" - i.e. "command" - which comes from John 13:34-35: "A new commandment I give to you, that you love one another: just as I have loved you, you also are to love one another. By this all people will know that you are my disciples, if you have love for one another.”"
Why is this day more somber than "Good Friday" on which Jesus actually died? Because that day is made "good" by the redemption accomplished by his death on the cross. Thursday, on the other hand, is just one difficult moment for Jesus after another with no relief in sight. In light of this, it is traditional for Maundy Thursday services to end in silence, with people leaving the church without talking.