This is from http://www.wikipedia.com (type in 'May Day')
On May 1st, 1561, French King Charles IX of France received a lily of the valley as a lucky charm. He decided to offer a lily of the valley each year to the ladies of the court. At the beginning of the 20th century, it became custom on the 1st of May, to give a sprig of lily of the valley, a symbol of springtime. The government permits individuals and workers' organisations to sell them free of taxation. It is also tradional for the lady receiving the spray of lilly of valley to give a kiss in return.
...also, Mary, Mother of Jesus (and often represented by lilies, for 'purity') has some connections with May day (May 1st).
...and there's the whole May basket tradition, as well. Little bro and I would go out in the woods and pick damp bouquets of Mayflowers and tiger lilies, accent them with a May umbrella or two, then stick them in stapled construction paper baskets. Sneak over to your neighbor's house, hang the basket on their front door handle, ring the doorbell...and run like crazy!