The Toasting is a marriage ritual in District 12, where a newly-wed couple cross the threshold into their new home, make their first fire together, and toast a piece of bread. Katniss Everdeen says that no one really feels married in District 12 until they've had the Toasting.
In Catching Fire, Peeta Mellark says in an interview with Caesar Flickerman that he and Katniss are already married, because they have had the Toasting, although legally they weren't married. Peeta also said that "they wouldn't have any regrets if it weren't for the baby", causing an uproar in the audience. The people of Panem were angry and wanted President Snow to stop The Quarter Quell for Katniss' sake. Despite the crowd's demand,the games still went on, and apparently Katniss lost the baby.