This is a question I get asked a lot! Tico is a word that you will hear used a lot in Costa Rica. It is a colloquialism used to refer to native Costa Ricans. You will also hear the ticos refer to North Americans as "gringos". Don't worry- gringo is not a pejorative term and is meant only as a description.
The prevailing theory that I've heard on where the nickname tico originated is that in the past, Costa Ricans would refer to each other as "hermantico" (little brother) as a sign of affection. As is the habit as words are used more and more frequently, they are shortened, eventually the word became tico.