- May 3 The sport of geocaching begins, with the first cache placed and the coordinates from a GPS posted on Usenet.
- May 6 126th Kentucky Derby: Kent Desormeaux aboard Fusaichi Pegasus wins in 2:01.12
- May 20 125th Preakness: Jerry Bailey aboard Red Bullet wins in 1:56.00
- May 24 8th UEFA Champions League Final: Real Madrid beats Valencia 3-0 at Saint-Denis
- May 26 NHL Eastern Conference Final: New Jersey Devils beat Philadelphia Flyers, 4 games to 3
- May 27 NHL Western Conference Final: Dallas Stars beat Colorado Avalanche, 4 games to 3
- May 28 Indianapolis 500: Juan Pablo Montoya wins in 2:58:59.431 (269.737 km/h)
May 27 Maurice "Rocket" Richard, Canadian NHL star (Montreal Canadiens, MVP-1947), dies of abdominal cancer and parkinson's disease at 78