This is what my Western History professor taught me, although I have no source for it, (feel free to delete this, mods, if it doesn't adhere to the rules) it's quite an interesting theory.
Basically, just like at the turn of the last millennium (2000), there were people that expected it to mark the return of Jesus. However, when Jesus did not appear again, they began to question why not. Eventually some came to the logical conclusion that if Jesus were to have a second coming, it would most likely be in one of the holy cities of Christianity (Jerusalem, Bethlehem, Nazareth, etc). This sparked an increase in interest in the Middle-East, which was at this point dominated by Islam.
Eventually this is why some saw fit to try and reclaim the holy lands (in the crusades, which began 1096 and onward). This is definitely not the reason the crusades were started (that's a different question on its own, and the answer is a bunch of different reasons, including a lot of political motives), but it does help explain why many people were so willing to march halfway across the known world to fight for control of the holy lands.
You may be interested in these previous threads:
EDIT: I've added a new section to the Popular Questions pages - "Were there any "new millenium" celebrations in the year 1000AD?"
You might be interested in this thread on very similar subject from a few months ago.