"Marry in May, rue the day," goes the old superstition. As much as we'd prefer to follow a saying that goes something like, "Get married whenever the heck you feel like it," this old wives' tale has real staying power. Among the many longstanding wedding superstitions, May's bad luck reputation has been around since ancient Rome.
Although it's difficult to know the exact reason why the Romans avoided May weddings, it could have been due to the festival of Lemuria, which lasted most of the month and paid tribute to the dead. Some believe it would have been frowned upon (and thus considered unlucky) to court a spouse when you were supposed to be celebrating the deceased.
Meanwhile, the people of southern France had a very, um, explicit explanation. According to an 1840 article about superstitions within the region, the entire month of May was "rejected by the young girls who are betrothed; and they frankly say upon the subject, that it is not suitable to marry at a period when the asses are amorous." In other words, why not wait until after May, when all of the livestock is done mating?
This explains why 19th-century agrarian communities would want to skip May weddings, but nowadays, it's pretty unlikely you'd have a wedding right next to a bunch "amorous" donkeys. According to The Knot, the only days in May actually worth avoiding are Mother's Day and Memorial Day (since having your wedding on a major holiday might put a dent in your guest list). But, seriously, there's no real reason to worry a May wedding spells doom for your marriage.
It'd be nearly impossible to hold a wedding that followed every single marriage superstition out there. To name just one example, almost every day of the week has been considered unlucky at some point — yes, even Saturday. Unless you're a big believer in superstitions, set your date for whenever you want (or whenever the venue of your dreams is available).