Baptists are not, as a rule, liturgical people. Normally that doesn't bother me much, but when it comes to Holy Week, I start wishing we had more tradition associated with worship. Maundy Thursday is usually the big day of the week we miss out on.
Maundy Thursday, for the uninitiated, is a celebration of the first Eucharist — the original Last Supper. According to tradition, Christ and His disciples met on Thursday night to celebrate Passover, and it was in that Passover celebration that the tradition of Communion began. It takes its name from the Latin phrase "mandatum novum do vobis ut diligatis invicem sicut dilexi vos ut et vos diligatis invicem" — "A new commandment I give to you, that you love one another: just as I have loved you, you also are to love one another." (John 13:34)
Part of the reason, I think, that Baptists don't celebrate Maundy Thursday is the whole "when was Jesus really crucified?" debate. Three days and three nights in the grave (for just as Jonah was three days and three nights in the belly of the great fish, so will the Son of Man be three days and three nights in the heart of the earth. Matthew 12:40 ESV), resurrection on Sunday (now on the first day of the week Mary Magdalene came to the tomb early, while it was still dark, and saw that the stone had been taken away from the tomb. John 20:1 ESV). Count back three days and nights — where does that leave you? Wednesday.
I'm not going to argue that here — there are merits to both days, and conventions regarding Jewish dating and time measurement to consider. But it does show why Baptists (and other Protestants as well), may not pay as much attention to Maundy Thursday as they should.