The Day of the Dead is a real-life Mexican holiday created to remember family and friends who have died, it is currently observed on the 1-2 November each year.
In the game, it is the one day in a year where those in the afterlife are allowed to visit their friends and family in the Land of the Living. It also has significance in that each arc of the story occurs on the Day of the Dead.
In the Game Edit
Manny does not appear to have anyone in the Land of the Living he considers that are worth visiting so he is one of the few that remain each time. This appears to be somewhat uncommon behaviour in the Land of the Dead, as numerous business complain that they see a significant drop in customers on the day.
It is not made clear if travel to the Land of the Living is restricted to those that were formally alive, or whether all beings including demons such as Glottis can make the trip.