Wikipedia 404'd? That seems unlikely, but I'll copy paste some for you:

Cross burning or cross lighting is a practice widely associated with the Ku Klux Klan, although the historical practice long predates the Klan's inception. In the early 20th century, the Klan burnt crosses on hillsides or near the homes of those they wished to intimidate.

Sign of the Ku Klux Klan

The first era, reconstruction Klans did not burn crosses. The idea was introduced by Thomas Dixon, Jr., in his novel, The Clansman in 1905. A cross burning is first described in Book IV Chapter 2 "The Fiery Cross" on pp. 324–6 of the 1905 edition. It is introduced by one of the characters as "the old Scottish rite of the burning cross. It will send a thrill of inspiration to to every clansmen in the hills." It is further elaborated that

In olden times when the Chieftain of our people summoned the clan on an errand of life and death, the Fiery Cross, extinguished in sacrificial blood, was sent by swift courier from village to village. This call was never made in vain, nor will it be to-night in the new world. Here, on this spot made holy ground by the blood of those we hold dearer than life, I raise the ancient symbol of an unconquered race of men—

This scene is accompanied by an unnumbered plate illustration by Arthur I. Keller, captioned "'The fiery cross of old Scotland's hills'", showing two robed, unmasked Klansmen over the body of a dead African-American, one of whom is holding a lighted cross, while robed and hooded klansmen look on. The novel ends with a klansmen waiting for election results stating "Look at our lights on the mountains! They are ablaze - range on range our signals gleam until the Fiery Cross is lost among the stars" meaning that he had won and "civilization" had been saved in the South. The fiery cross is mentioned once again in The Traitor when a Grand Dragon tosses a burning cross on a heap of discarded Klan robes and regalia in obedience to the order of the Grand Dragon to dissolve the order. This scene is accompanied by an illustration captioned "Some of the men were sobbing" by Charles David Williams featuring a gathering of Klansmen over a burning pile of robes, carrying three burning crosses.

The first instance of a cross being burned in the United States was when the Knights of Mary Phagan, the group that had lynched Leo Frank, burned a large cross atop Stone Mountain, outside of Atlanta on Oct. 16, 1915. That Thanksgiving William J. Simmons and members of the Knights of Mary Phagan met again on Stone mountain to burn a cross and initiate a new organization - the Knights of the Ku Klux Klan, the most important Klan group of the Second Era.

Many Christians consider it sacrilege to burn or otherwise destroy a cross. Klan Christians, however, state that it is not destroying the cross, but "lighting" it, as a symbol of the members' faith.