Here is a chart provided by Sharekhan about returns in Indian Indices in May of every year from 1998 to 2008.
Months Index returns (%)
May-98 -9.05
May-99 13.61
May-00 -1.89
May-01 3.65
May-02 -5.41
May-03 7.23
May-04 -21.06
May-05 8.86
May-06 -15.84
May-07 4.84
May-08 -3.68 ? [Till Date]