From the Roman Martyrology:
The birthday of the blessed apostles Philip and James. James, after having converted nearly all of Scythia to the faith of Christ, went to Hieropolis, a city in Asia, where he was fastened to a cross and stoned, and thus ended his life gloriously. James, who is also called the brother of our Lord, was the first bishop of Jerusalem. Being hurled down from a pinnacle of the temple, his legs were broken, and being struck on the head with a dyer's staff, he expired and was buried near the temple.
The Anglican Breviary provides this narrative:
Philip was born in the town of Bethsaida, and was among the first of the twelve Apostles called by the Lord Christ, For the Evangelist saith that first, is was Andrew who brought Peter, and next came Philip. Again we read: Philip findeth Nathaniel, and saith unto him, We have found him to whom Moses in the Law, and the Prophets, did write. And so it was that Philip brought Nathaniel to the Lord.
According to the early Fathers of the Church, Philip, after he had received the Holy Ghost, took Scythia, by lot, as the land wherein he was to preach the Gospel, and brought many of that people to believe in Christ. At the last he came to Hierapolis in Phrygia, and there on a certain first day in May, in the first Christian century, for Christ's Name's sake, he was fastened to a cross and stoned to death. His body was buried at that place, and afterwards it was brought to Rome and laid in the Basilica of the Twelve Apostles, beside the body of the blessed Apostle James, the brother of the Lord. Wherefore they are commemorated together on this day.
We learn from Hegesippus that when James was ninety-six years old, and had most holily governed the Church of Jerusalem for thirty years, ever most constantly preaching Christ the Son of God, he laid down his life for the faith. According to this account, he was first stoned, and afterward taken to a pinnacle of the Temple, and from thence was cast down, whereby his legs were broken, and he was well nigh killed; but he lifted up his hands toward heaven, and prayed to God for the salvation of his murderers, saying: Lord, forgive them, for they know not what they do! And as he said this, one that stood by smote him grievously upon the head with a fuller's club, so that he resigned his spirit to God.
An Interesting Note:
My copy of the Martyrology is pre-Vatican Council II. Sts. Philip and James are in their proper place on May 1. The Anglican Breviary agrees with this, as does the Lutheran calendars.
However, after Vatican II Rome has made a few adjustments to their calendar. Sts. Philip and James are now commemorated on May 11, and St. Joseph the Worker is commemorated on May 1. (Curious how this is also "international" Labor Day.)