What is the Big Bang Theory?
It is most popular and plausible explanation for the origin of our Universe. At a certain point in time -- about 13.7 billion years ago -- there was nothing. And then, the Universe was born. The Big Bang theory is an effort to explain how it happened.
So there was a big bang, which created the Universe!
Not really. The Big Bang was most likely an expansion - which still continues.
What's the evidence?
According to the Hubble's Law galaxies are moving away from the Earth at speeds proportional to their distance. This observation supports the expansion of the Universe and suggests that the Universe was once compacted.
It would also mean that big bang released some heat.