Labor Day is an annual federal holiday to celebrate American workers and the labor movement. The holiday falls on the first Monday in September creating a nice long weekend as the country enters the Fall season. Labor Day has been a holiday since 1894 according to Wikipedia entry.
Many retailers use the holiday to promote Labor Day deals.
Labor Day Explanation from TED-Ed
This video from TED-Ed Animations explains the importance of Labor Day and why it is celebrated by Americans and Canadians.