From the archives of Slate: "Raise a glass to the desperate politicking of Grover Cleveland." Over at the Wikipedia, they've got a less detailed history, but include a link to a great "Ask Yahoo" question, Why aren't you supposed to wear white after Labor Day? The likeliest answer is that it was some stupid shit the new industrial-age Bourgeoisie invented because the old aristocrats had rules, and you're not a real ruling class unless you have pointless rules.