May 1st isn't really celebrated in the US... in the old days, we'd amuse ourselves watching the Soviet May Day parade with all the marching soldiers and giant missile launchers.
Here in Spain, it's a big deal, and usually there's some massive march through Barcelona organized by one of the unions.
To celebrate, we watched "Capitalism: A Love Story", which I though was somewhat underwhelming. Many sad stories about people getting kicked out of their houses, but few details about how they managed to get into that situation. The practice of companies taking out insurance policies ("dead peasant policies") on their employees was somewhat icky (they didn't explain in the movie that it's mostly done for tax favorable investment income), but no one was alleging that the companies purposely try to kill off their employees. In the end, I just don't think that Michael Moore had any compelling insights into the whole situation.