Deliberately celebrated on the first Monday in September; 1 May is "Loyalty Day." - Edit 1
Before modification by Joel at 08/03/2012 10:24:40 PM
Seriously; even though federal Labor Day holidays originated in America, as a response to the Chicago Haymarket Massacre, and even though virtually every other country observes it in May specifically because the riots occurred then, we deliberately set our observance in September to avoid association with the Chicago riots that inspired it. In the wake of the Soviet revolution America even declared 1 May Loyalty Day, which Congress established as a federally observed holiday in the '50s.