"During the fight for the 8-hour day in the 1880’s, 4 men were shot to death on the picket line in a strike for a shorter working day. Later four were hanged for organizing a rally in Haymarket Square in Chicago Illinois to protest the killing of the four picketers. Someone (never identified) threw a bomb at the end of the rally and a policeman was killed. Police opened fire into the crowd killing several people including members of their own police force."
"This rally, referred to as the Haymarket Riot, led to the conviction of 8 men who organized the rally. 4 were hanged and all 8 were later pardoned by the governor of Illinois. The 8 men are referred to as the Haymarket Martyrs and on May 1st, in countries all around the world as diverse as South Africa, Australia, India, Scotland, Mexico and Sweden, organized labor recognizes, celebrates and honors the Chicago Martyrs."
There's a celebration today in Philadelphia for the international holiday that honors all workers. In the US we may celebrate in September, but the May 1st celebration has it's origins right here -- in Chicago. From the May Day USA 2008 press release: