In 1889, the International Socialist Congress voted to establish May 1 as International Workers Day, commemorating the anniversary of the 1886 Haymarket Square riots. The Anarchist International Information Service has more details.
Here in the United States, May 1 is known as Loyalty Day. Just one of the many inanities instituted in the 50s in the name of anti-Communism. It's also Law Day, for what that's worth.