Apparently, they can be held on any day of the week but, since the 1930s, have been held on Thursdays.
This was because most people got paid on Friday and so anyone working would be too strapped for cash to go to the pub after work. Therefore, they were considered more likely to go and vote on the way home!
Friday and Saturday, they were likely to go straight out to football or to socialise after work and, thus, not vote. Sunday elections would deter people from going to church.
Monday, Tuesday and Wednesday were just considered grindingly awful work days when everyone kept their heads down, got on with real life and couldn't be bothered with politics.
According to the social researchers of the day, this left Thursday as the day most likely to get people into the polling booths!