Of course, you will miss out on a few dividend payments which as I've said before and hundreds of experts agree is at least half of the market returns over time but aside that, selling in May does seem to have some merit occasionally.
There are exceptions to the rule and unfortunately, far too many to ignore so the answer if you should sell your stocks in May and buy back in October is not easy. It is up to you.
In this year 2014, the market had run up for five years so taking some money off the table may not have been a bad idea BUT the problem with that is that you have to buy back in someday and invariably individual investors are not good market timers (neither are Wall St pros).
Sorry not to have a crystal ball.