Ok maybe I should have waited to start this till after the 29th of February…
I am sure that you can understand that it is a little difficult to actually get a holiday for a day that only happens once every four years, but I was able to find one religion (granted many people see this particular religion as a parody but anyway), Discordian recognize this as St. Tib’s Day. Unfortunately I was unable to find anything about why this day is so recognized but will continue to look so as to be ready next leap year.
There seems to be some hints that, in years past, during leap year or just on leap day a women was able to ask for a mans hand in marriage.
Sorry for this particular entry, I just did not think this through very well.
Wikipedia 29th of February http://en.wikipedia.org/wiki/February_29