May is a great time to visit. Most tourists tend to come in July and August so it is still relatively quiet. You are practically guaranteed long, sunny days every day of your holiday in May. If you do get one overcast day, this is rare, but there are plenty of other things to do, such as visiting one of the shopping centres for some souvenirs or renting a car and exploring the lakes and mountains. The evenings and nights are nice and warm in May.
The Feria de Caballo, or horse market, opens on May 1 in Valsequillo. There is also an agricultural show. Día de las Islas Canarias (Canary Islands Day) is on May 30. The Canarians are very patriotic and you will see traditional wrestling, stick fighting and dance displays.
Corpus Christi is in late May or early June and the Canarians decorate the streets with coloured sand, grasses and flowers, to make a path for the religious procession. Las Palmas usually has the best displays. For a relaxed day out, visit Mogán, which is a quiet fishing port and nicknamed Little Venice because of its pretty waterways. There is a market at Mogán on Fridays from 10am until 2pm.