This is actually kind of a big deal ALL over the world.
So, in terms of football, Leicester have always been at or towards the bottom of the Premier League. I don't follow football, but the point is, they've apparently always sucked and never won. Hell, they apparently ALMOST were out of the League this season because of their poor performance last one. And so for them to win is a MASSIVE upset, a proper underdog/fairy-tale story in which they somehow came up on top of an extremely tough league of football. That alone makes it a huge sporting event here in the UK.
Why it's actually a bigger deal than just that though is that them winning is against THE biggest sporting odds in history. At the start of the League there were bookies offering 5000 to 1 odds for Leicester to actually win the League (yarp, that's right, 5000:1). That means that they actually overcame worse odds than any other sporting team/individual in history... In ANY sport. If you know of any underdog winners, this is basically the same... Except more outrageous.
I almost wish I DID follow football just so I could be a bigger part of the fucking ridiculousness of the situation.