Actually, there are two.

One is in October, but today is often dubbed International Caps Lock Day- sorry, INTERNATIONAL CAPS LOCK DAY- because it also marks the anniversary of the unexpected death of popular TV pitchman Billy Mays. Mays passed away two years ago, and in tribute, many users re-named their Caps Lock key the "Billy Mays" key due to his habit of shouting phrases like "BUT WAIT, THERE'S MORE!"

The other Caps Lock day is October 22nd, but the official date should really move to June 28th to honor Mays the best way the internet knows how- with good natured ribbing, memes and other humorous tributes.

The original Caps Lock Day is marked with an official website (and Twitter account), and described by its creator thusly:

International Caps Lock Day is in fact a testament to the small mindedness of certain Western individuals: the majority of the world’s population writes in scripts which have no concept of letter casing. Therefore it is advised to laugh at anyone who invokes this day as an excuse to dismiss local typographical conventions: they are simply making an ass out of themselves.
Do you think the holiday should move in memory of Billy Mays?