Here is an elaboration of Qiaochu's comment above:
A $2n\times 2n$ matrix $A$ induces a pairing (say on column vectors), namely
$$\langle v,w \rangle := v^T A w.$$
Thus we can think of $A$ as being an element of $(V\otimes V)^*$ (which is
the space of all bilinear pairings on $V$), where $V$ is the space of $2n$-dimensional column vectors.
If $A$ is skew-symmetric, then this pairing is anti-symmetric, and so we can actually regard $A$ as an element of $\wedge^2 V^*$. We can then take the $n$th exterior power of $A$, so as to obtain an element of $\wedge^{2n} V^*$. This latter space is $1$-dimensional, and so if we fix some appropriately normalized basis for it, the $n$th exterior power of $A$ can be thought of just as a number. This is the Pfaffian of $A$ (provided we chose the right basis for $\wedge^{2n} V^*$).
How does this compare to the usual description of determinants via exterior powers:
For this, we regard $A$ as an endomorphism $V \to V$, which induces an endomorphism $\wedge^{2n} V \to \wedge^{2n} V$, which is a scalar (being an endomorphism of a $1$-dimensional space); this is $\det A$.
So now we see where the formula $\det(A) =$ Pf$(A)^2$ comes from: computing the determinant involves taking a $2n$th exterior power of $A$, while computing the Pfaffian involves only taking an $n$th exterior power (because we use the skew-symmetry of $A$ to get an exterior square "for free", so to speak).
The sorting out the details of all this should be a fun exercise.