The Gemara (Taanis 29A) teaches in the name of Rav, that just as when the month of Av begins we curtail joy, so too when the month of Adar begins we increase joy. What might be the lesson of connecting and contrasting these two months - Av and Adar? Rav Chaim Yaakov Goldvicht z"l, Rosh Yeshiva of Kerem B'Yavneh, suggested that simcha is to be understood as being in the presence of Hashem. What caused the diminution in the month of Av? The sin of the spies. The Sfas Emes and others explain the thinking of the spies, that they were afraid to leave the spiritual cocoon and womb of the dessert. In the dessert they were surrounded by Hashem's supernatural manifestations daily in the form of the mann, be'er of Miriam and the clouds of Glory which enveloped them providing them with air-conditioning by day and heat by night. They were afraid to enter Eretz Yisrael to live a natural lifestyle of planting and growing their own food, making their own clothing and developing their human initiatives. Their refusal to see Hashem in the everyday led Chazal, therefore, limit joy and happiness during this time as a direct consequence of their action.
Purim represents the antithesis of the sin of the spies. The Gemara (Shabbos 88 A) understands the verse in Shemos (19:17) "and they stood under the mountain" to be taken literally: that Hashem covered them with the mountain and said to them "if you accept the Torah, fine, if not your burial will be here". Rav Acha bar Yaakov said this could very well serve as an excuse for anyone who does not observe the Torah, for they could claim it was given to them under coercion. The Meshech Chochma in his commentary on this verse teaches that one need not understand the above lifting of the mountain literally, rather the Revelation at Sinai was so powerfully real and pronounced, and they were so absolutely sure that Hashem Himself spoke to them, that they had no choice but to accept the Torah. Rava said, nevertheless, that they accepted the Torah again in the days of Achashverosh, as it says in the Megillah (9:27) "The Jews established and accepted." Which is understood to mean, they established at Purim that which already had been accepted at Sinai.
The Purim story could well be understood as a series of unrelated happenings; a string of coincidences that ultimately ended up well for the Jewish people. Instead, the Jews recognized the Hand of Hashem as the Director and Coordinator of everything that transpired. They saw Him in the everyday, the opposite of the sin of the spies who refused to see Hashem in the everyday.
I'd like to suggest an additional approach to appreciate the yom tov of Purim. Rav Chaim Friedlander z"l in his Sifsei Chaim teaches that what appear at first to be all the crises of the Purim story later become part of the salvation of the Jewish People. The Purim story occurred over nine years, between the 3rd year of the reign of Achashverosh and the 12th year. When Esther, a good Jewish woman, perhaps wife, (Talmud Megillah 13A) was taken against her will to the palace of the king, this was assessed as a tragedy. When Mordechai refused to bow to Haman, this was viewed by many as a source of trouble for the Jewish nation. When Haman readied the gallows to hang Mordechai, this was perceived as a terrible impending danger. It was only at the end that it was understood that each "negative" occurrence was part of the Divine Plan. Purim portends that which the prophet Isaiah (35:5) teaches "then the eyes of the blind will be opened." In the future, in the days of Mashiach, we will see, understand and appreciate that indeed all that we consider to be tragic and negative is, in reality, good and positive. The teaching of Rabbi Akiva, Berachos (60A) "everything Hashem does is for the good", which is now a tenet of faith but not exoteric, will in the future be verified and substantiated.
The Talmud Yerushalmi (Tannis 2:2) teaches that in the future all the holidays will cease except for Purim (this is echoed by the Rambam Hilchos Megillah 2:18). Rav Shlomo Alkebetz, author of Lecha Dodi, writes in his commentary to Megillas Esther (entitled Manos HaLevi) that while all other holidays will always be observed, their message will pale in comparison to Purim. All other holidays - Pesach, Shavuos, and Succos - focus on the overt salvation, revelation and deliverance of Hashem. Purim provides us with the preview that we will appreciate all which has transpired in history; all the enigmas, frustrations and challenges as one big "WOW!", all leading to the Glory of Hashem.