To be a little more specific, Cinco de Mayo was a celebration of the victory at the battle of Puebla. There were about 300 Mexican regulars + 3000 barely trained (if any training at all) militia against 10,000 veteran French soldiers. (sound familiar?) The difference between this and the extremely special-effect'd movie was that the underdogs won. It isn't celebrated much in Mexico because it, in no way, was a decisive battle. It is celebrated much more in the South-West United States (+ Texas) as it is viewed as a representation of their Spanish heritage. So it's one big South-Western fiesta.
Except for Arizona