Crossing your fingers can give you good luck, ward off bad luck (like, say, when you have to walk under a ladder), and protect you from the consequences of a lie.
This practice is seen in America, Britain, and some parts of Scandinavia. The earliest reference found dates only from 1890, so it is surprisingly new. Before this, it was more common to clench the thumb with the fingers
So why cross your fingers at all? Once again, we can look to Christianity for the origins of this one: some people believe crossing your fingers makes the sign of the crucifix, which of course has the power to ward off evil.
Reference: Most of the material from this post was found in David Pickering's Dictionary of Superstitions and Steve Roud's The Penguin Guide to the Superstitions of Britain and Ireland.