As directly pulled from Wikipedia:
"The Derweze area is rich in natural gas. While drilling in 1971, geologists tapped into a cavern filled with natural gas. The ground beneath the drilling rig collapsed, leaving a large hole with a diameter of about 70 meters (230 ft). To avoid poisonous gas discharge, it was decided to be burned off. Geologists had hoped the fire would use all the fuel in a matter of days, but the gas still burns almost 40 years later. Locals have dubbed the cavern "The Door to Hell.""
http://en.wikipedia.org/wiki/Derweze#The_.22Door_to_Hell.22_gas_deposit