May Day occurs on May 1 and refers to any of several public holidays. In many countries, May Day is synonymous with International Workers' Day, or Labour Day, which celebrates the social and economic achievements of the labor movement. As a day of celebration, however, the holiday has ancient origins and can relate to many customs that have survived into modern times. Many of these customs are due to May Day being a cross-quarter day, meaning that it falls approximately halfway between an equinox and a solstice.
May Day can refer to various labour celebrations conducted on May 1 that commemorate the fight for the eight hour day. May Day in this regard is called International Workers' Day, or Labour Day. The choice of May 1st was a commemoration by the Second International for the people involved in the 1886 Haymarket affair in Chicago, Illinois. As the culmination of three days of labor unrest in the United States, the Haymarket incident was a source of outrage and admiration from people around the globe. In countries other than the United States and Canada, residents sought to make May Day an official holiday and their efforts largely succeeded.
For this reason, in most of the world today, May Day has become an international celebration of the social and economic achievements of the labour movement. Although May Day received its inspiration from the United States, the U.S. Congress designated May 1 as Loyalty Day in 1958 due to the day's appropriation by the Soviet Union. Alternatively, Labor Day traditionally occurs sometime in September in the United States. Some view this as an effort to isolate American workers from the worldwide community.
Yes, this holiday also had religious origins. However, unlike Christmas or Halloween I'd say it has fully evolved. May Day has a no (or at least fewer) religious remnants while one might argue Christmas is still a very religious holiday. Further, it's current form serves a purpose greater than wasting money on costumes and potentially inflating your dentist's bill (i.e. Halloween).
If you're going to celebrate only one "Western" holiday, my vote goes to May Day!