It's such a charming tradition, yet is forgotten for the most part.
Louisa May Alcott wrote about it in "Jack and Jill" (Chapter 18):
"The job now in hand was May baskets, for it was the custom of the
children to hang them on the doors of their friends the night before May-day;
and the girls had agreed to supply baskets if the boys would hunt for flowers,
much the harder task of the two. Jill had more leisure as well as taste and
skill than the other girls, so she amused herself with making a goodly store
of pretty baskets of all shapes, sizes, and colors, quite confident that they
would be filled, though not a flower had shown its head except a few hardy
dandelions, and here and there a small cluster of saxifrage." (a type of herb
called Greater Burnet).
Quote from here
Here is a simple tutorial for making your own.