Why February 29? DC Comics (who create and publish Superman comics) Editor Julie Schwartz declared that Superman's birthday was on February 29th in a number of letter pages during the Silver Age. Supposedly this is how Superman stays looking so, after all he only has a birthday every four years!
In 1985's "Superman Annual #11" his birthdate is mentioned as being February 29 in an actual story. While "Time" magazine published a story in 1988 that also stated this date as being Superman's birthday.
Oddly enough, Clark Kent celebrates his birthday on a completely different day. Clark's celebrates his birthday on the day Jonathan and Martha Kent pulled him from the Kryptonian rocketship that landed in Smallville, Kansas. This was established in "Action Comics #241" in 1958, and was specified in "Action Comics #263" in 1973 as being celebrated on June 18th.
CONTENT courtesy of the Superman Homepage: http://www.supermanhomepage.com/news.php?readmore=10982