<http://en.wikipedia.org/wiki/Labor_Day>
> The Knights of Labor organized the original parade on Tuesday,
> September 5, 1882 in New York City. In 1884 another parade was
> held, and the Knights passed resolutions to make this an annual
> event. Other labor organizations (and there were many), but notably
> the affiliates of the International Workingmen's Association, many
> of whom were socialists or anarchists, favored a May 1 holiday. In
> 1886 came the general strike which eventually won the eight-hour
> workday in the United States. These events are today commemorated
> as Labor Day in virtually every country in the world, with the
> notable exceptions being the United States, Canada, Australia and
> New Zealand. With the Chicago Haymarket riots in early May of 1886,
> President Grover Cleveland believed that commemorating Labor Day on
> May 1 could become an opportunity to commemorate the riots. Thus,
> fearing that it might strengthen the socialist movement, he quickly
> moved in 1887 to support the position of the Knights of Labor and
> their date for Labor Day.
In the U.S., we celebrate "Law Day" and "Loyalty Day" on May 1.
Doug