According to Wikipedia, May Day is related to the Celtic festival of Beltane and the Germanic festival of Walpurgis Night. Walpurgis (“Valborg” in Swedish) Night is widely celebrated on April 30th in Scandinavia, most of all in Sweden. One of the main traditions in Sweden is to light large bonfires, a custom which began during the 18th century. Lighting the popular bonfires began with the purpose of keeping away evil spirits, especially demons and witches. Nowadays, Walpurgis Night is usually seen as a celebration of springtime.
In the Roman Catholic tradition, May Day is usually a celebration of the Blessed Virgin Mary. Mary’s head will often be adorned with flowers in a May crowning.
Since the late 20th century, May Day has also been celebrated by giving “May baskets.” A “May basket” is typically a small basket of sweets and/or flower, usually left anonymously on a neighbor’s doorstep.
May 1st is also the day to commemorate the Haymarket Square Riot in 1886 and union labor in the U.S.
http://goscandinavia.about.com/od/annualeventstraditions/qt/walpurgisnight.htm
http://en.wikipedia.org/wiki/May_Day
http://history1800s.about.com/od/organizedlabor/a/haymarket01.htm