The relevant texts are Matthew 27:56; 27:61; 28:1; Mark 15:40; 15:47; 16:1; 19:9; Luke 8:2; 24:10; John 19:25; 20:1; 20:11; 20:16; 20:18
Other that we know very little, though we can deduce from her name that she probably came from Magdala, a town on the edge of the Sea of Galilee.
Gregory the Great believed that she was the woman who anointed Jesus' feet in the house of Simon Peter and the sister of Martha (See Luke 7: 36-50; Luke 10: 38-42; John 11: 1-46 and John 12: 1-3) but there really is no evidence for this.
It is also suggested that after the crucifixion she went to Ephesus with John and Mary the Mother of Jesus, where she later died and was buried. Indeed, St Willibald claimed that he had seen her tomb in Ephesus, in the 8th century.
Another legend, however, suggests that she and Martha evangelised Provence (France) and that she died in Saint Maximin, but this is probably untrue.
Her feast day is the 22nd of July.
Source: David Hugh Farmer, "The Oxford Dictionary of Saints" [Oxford: OUP, 1987]