The first of May is an important milestone in our calendar if only because it means better weather for the next few months: The last stretch of school, flowers and gardens, and dreams of summer! The first day of the month is a holiday, or has been, in many different cultures for various reasons. Pagans made a real celebration out of it.
So around the end of April and beginning of May, the Romans honored their flower and fertility goddess Flora with dances, processions, games, and sundry merriment. Lots of this merriment involved prostitutes, rarely clothed. Of course everyone thinks the "Floralia" festival had roots in older earth and goddess worshipping cultures; defenders of Roman Virtue have blamed the Floralia's rampant licentiousness -- including nude mimes! -- on those randy and uncivil primitives. Arguably, the Romans had lewd habits all their own, even before Caligula -- but we won't get into that.
On May 1st there were also sacrifices to the obscure Italian earth goddess Maia by the priests of Vulcan (the fire and volcano god, thought to be Maia's beau). We don't know much else about what the Romans thought of her, except that she's the one who gave the month its name.
But May Day has been celebrated by Christians, Communists. and other groups as well. Read about the different meanings of May Day at mental_floss.