Holy water is a sacramental, a religious object or action created by the Catholic Church, as opposed to the seven Sacraments which were instituted by Jesus Christ himself.  Holy water is used as a symbolic reminder of Baptism and, along with the Sign of the Cross, is used when entering Church to visibly remind ourselves that we're entering the House of God, the Holy of Holies, and blessing with holy water is good preparation for worship.

It is not necessary to bless yourself with holy water when leaving Mass.  Having just consumed the Body and Blood of Jesus Christ you received the greatest blessing of all.

The use of holy water is biblical and can be traced back to the time of Moses:

"In an earthen vessel he shall meanwhile put some holy water, as well as some dust that he has taken from the floor of the dwelling."  Numbers 5:17

Among the Jews the sprinkling of water on the people, the sacrifices, the sacred vessels, etc., was enjoined by the regulations laid down by Moses in the book of Exodus and Leviticus; and it was undoubtedly from these practices of the Mosaic law that the Catholic Church took many of the details in regard to holy water.

The customer of placing holy water at the door of the church for the use of the faithful is ancient.  Among the Jews a ceremony of water purification was required before entering the Temple to assist at the sacrifices, and this undoubtedly suggested the Catholic practice of using holy water at the church door.

The use of holy water in Catholic Churches goes back possibly to apostolic times.  There is a tradition that St. Matthew recommended it in order to attract converts from Judaism by using a rite with which they were familiar in their former faith.  However, we have no certainty that he introduced it, but we know that it can be traced back nearly to the beginning of our religion.  It is mentioned in a letter ascribed by some to Pope Alexander I, and supposed to have been written in the year 117; but the genuineness of this letter is very doubtful.  We find a detailed account of its use, however, in the "Pontifical of Serapion," in the fourth century, and the formula of blessing mentioned therein has considerable resemblance to that used at the present day.  The Council of Constantinople in 691 AD also mentions the blessing of holy water in each church at the beginning of each lunar month.

Prayer for Blessing Oneself with Holy Water

By Your Precious Blood and by this Holy Water, cleanse me from my sins, O Lord.

-- Bill Bawden, Deacon of The Catholic Parish of St. John the Baptist, Edmond, OK. 

References:  Catholic Answers