LEGAL STUFF:

1. Download the SQL Server DDL to create the dim_day table which will serve as the highly denormalized table structure for your date-specific attributes.
   Note:If your database is not SQL Server, you will need to make the necessary adjustments to bring the DDL into syntactical compliance with the requirements of your RDBMS. There is also an Oracle script embedded in the page below for now. If you create a new or modify a downloaded script for a new database, please share it with me and I will make it available here for everyone to share, netizen. :o)
2. Choose to either download one of the pre-populated source files in the format of your choice (CSV, tab-delimited or MS-Access) The pre-populated files contain the majority of the data elements (except fiscal date-related columns) to be loaded into the dim_day table in a ready-to-load format.
   -OR-
   download the Sequential Day Numbers Primer File. Next, download the SQL Server DML script to create dim_date in an incremental fashion after loading the dim_day.date_key column with all the values from the Sequential Day Number Primer File with the ETL tool of your choice. These scripts also save you from the tedious hand-coding and debugging of the SQL DML commands required to populate dim_day yourself. Reviewing the DML script can also provide helpful examples should you need to alter the dim_day data structure or content to fit your specific requirements. This script helps you have a better understanding of the content of dim_day an how it was produced. Note: the DML statements are for SQL Server and will need to be updated to the syntax of your particular non-SQL Server RDBMS.
3. Using your tool of choice connect to the target database to contain the dim_day table.
4. Create the dim_day table (see CREATE TABLE script below for your database)
5. Load the pre-populated file previously downloaded or begin executing each command in order from top to bottom found in the DML script. NOTE: IT IS NOT NECESSARY TO RUN THE DML SCRIPT IF YOU ARE LOADING ONE OF THE PRE-POPULATED FILES INTO DIM_DAY.
6. Validate the resulting data contained in the dim_day table. If you have successfully populated all of the data contained in the one of the pre-populated files there will be 219,146 rows of data in dim_day after completion of all of the steps found in the DML script file. Each row corresponds to a single day between 01-Jan-1900 and 31-Dec-2499. Some example validation scripts will be added soon, so stay tuned.

For SQL Server: 
CREATE TABLE dim_day 
(
  date_key int NOT NULL
, date_type varchar (20) NULL CONSTRAINT DF_dim_day_date_type Default('NORMAL')
, full_date datetime NULL
, day_num_of_week int NULL
, day_num_of_month int NULL
, day_num_of_quarter int NULL
, day_num_of_year int NULL
, day_num_absolute int NULL
, day_of_week_name varchar (10) NULL
, day_of_week_abbreviation varchar (3) NULL
, julian_day_num_of_year int NULL
, julian_day_num_absolute decimal(18, 0) NULL
, is_weekday char (1) NULL
, is_US_civil_holiday char (1) NULL CONSTRAINT DF_dim_day_holiday  Default('N')
, is_last_day_of_week char (1) NULL CONSTRAINT DF_dim_day_lastdow Default('N')
, is_last_day_of_month char (1) NULL CONSTRAINT DF_dim_day_lastdom Default('N')
, is_last_day_of_quarter char (1) NULL CONSTRAINT DF_dim_day_lastdoq Default('N')
, is_last_day_of_year char (1) NULL CONSTRAINT DF_dim_day_lastdoy Default('N')
, is_last_day_of_fiscal_month char (1) NULL CONSTRAINT DF_dim_day_lastdofm Default('N')
, is_last_day_of_fiscal_quarter char (1) NULL CONSTRAINT DF_dim_day_lastdofq Default('N')
, is_last_day_of_fiscal_year char (1) NULL CONSTRAINT DF_dim_day_lastdofy Default('N')
, prev_day_date datetime NULL
, prev_day_date_key int NULL
, same_weekday_year_ago_date datetime NULL
, same_weekday_year_ago_date_key int NULL
, week_of_year_begin_date datetime NULL
, week_of_year_begin_date_key int NULL
, week_of_year_end_date datetime NULL
, week_of_year_end_date_key int NULL
, week_of_month_begin_date datetime NULL
, week_of_month_begin_date_key int NULL
, week_of_month_end_date datetime NULL
, week_of_month_end_date_key int NULL
, week_of_quarter_begin_date datetime NULL
, week_of_quarter_begin_date_key int NULL
, week_of_quarter_end_date datetime NULL
, week_of_quarter_end_date_key int NULL
, week_num_of_month int NULL
, week_num_of_quarter int NULL
, week_num_of_year int NULL
, week_num_overall int NULL
, month_num_of_year int NULL
, month_num_overall int NULL
, month_name varchar (10) NULL
, month_name_abbreviation varchar (3) NULL
, month_begin_date datetime NULL
, month_begin_date_key int NULL
, month_end_date datetime NULL
, month_end_date_key int NULL
, quarter_num_of_year int NULL
, quarter_num_overall int NULL
, quarter_begin_date datetime NULL
, quarter_begin_date_key int NULL
, quarter_end_date datetime NULL
, quarter_end_date_key int NULL
, year_num int NULL
, year_begin_date datetime NULL
, year_begin_date_key int NULL
, year_end_date datetime NULL
, year_end_date_key int NULL
, YYYYMM varchar (6) NULL
, YYYYMMDD varchar (8) NULL
, DDMONYY varchar (7) NULL
, DDMONYYYY varchar (9) NULL
, fiscal_week_num_of_year int NULL
, fiscal_week_num_overall int NULL
, fiscal_week_begin_date_key int NULL
, fiscal_week_begin_date datetime NULL
, fiscal_week_end_date_key int NULL
, fiscal_week_end_date datetime NULL
, fiscal_month_num_of_year int NULL
, fiscal_month_num_overall int NULL
, fiscal_month_begin_date datetime NULL
, fiscal_month_begin_date_key int NULL
, fiscal_month_end_date datetime NULL
, fiscal_month_end_date_key int NULL
, fiscal_quarter_num_of_year int NULL
, fiscal_quarter_num_overall int NULL
, fiscal_quarter_begin_date datetime NULL
, fiscal_quarter_begin_date_key int NULL
, fiscal_quarter_end_date datetime NULL
, fiscal_quarter_end_date_key int NULL
, fiscal_year_num int NULL
, fiscal_year_begin_date datetime NULL
, fiscal_year_begin_date_key int NULL
, fiscal_year_end_date datetime NULL
, fiscal_year_end_date_key int NULL
) 
GO

ALTER TABLE dim_day 
ADD CONSTRAINT PK_dim_day PRIMARY KEY CLUSTERED 
  (
  date_key
  )
GO

For Oracle:
CREATE TABLE dim_day 
(
  date_key integer NOT NULL
, date_type varchar2 (20) NULL  DEFAULT 'NORMAL'
, full_date date NULL
, day_num_of_week integer NULL
, day_num_of_month integer NULL
, day_num_of_quarter integer NULL
, day_num_of_year integer NULL
, day_num_absolute integer NULL
, day_of_week_name varchar2 (10) NULL
, day_of_week_abbreviation varchar2 (3) NULL
, julian_day_num_of_year integer NULL
, julian_day_num_absolute decimal(18, 0) NULL
, is_weekday char (1) NULL
, is_US_civil_holiday char (1) NULL DEFAULT 'N'
, is_last_day_of_week char (1) NULL DEFAULT 'N'
, is_last_day_of_month char (1) NULL DEFAULT 'N' 
, is_last_day_of_quarter char (1) NULL DEFAULT 'N'
, is_last_day_of_year char (1) NULL DEFAULT 'N'
, is_last_day_of_fiscal_month char (1) NULL DEFAULT 'N'
, is_last_day_of_fiscal_quarter char (1) NULL DEFAULT 'N'
, is_last_day_of_fiscal_year char (1) NULL DEFAULT 'N'
, prev_day_date date NULL
, prev_day_date_key integer NULL
, same_weekday_year_ago_date date NULL
, same_weekday_year_ago_date_key integer NULL
, week_of_year_begin_date date NULL
, week_of_year_begin_date_key integer NULL
, week_of_year_end_date date NULL
, week_of_year_end_date_key integer NULL
, week_of_month_begin_date date NULL
, week_of_month_begin_date_key integer NULL
, week_of_month_end_date date NULL
, week_of_month_end_date_key integer NULL
, week_of_quarter_begin_date date NULL
, week_of_quarter_begin_date_key integer NULL
, week_of_quarter_end_date date NULL
, week_of_quarter_end_date_key integer NULL
, week_num_of_month integer NULL
, week_num_of_quarter integer NULL
, week_num_of_year integer NULL
, week_num_overall integer NULL
, month_num_of_year integer NULL
, month_num_overall integer NULL
, month_name varchar2 (10) NULL
, month_name_abbreviation varchar2 (3) NULL
, month_begin_date date NULL
, month_begin_date_key integer NULL
, month_end_date date NULL
, month_end_date_key integer NULL
, quarter_num_of_year integer NULL
, quarter_num_overall integer NULL
, quarter_begin_date date NULL
, quarter_begin_date_key integer NULL
, quarter_end_date date NULL
, quarter_end_date_key integer NULL
, year_num integer NULL
, year_begin_date date NULL
, year_begin_date_key integer NULL
, year_end_date date NULL
, year_end_date_key integer NULL
, YYYYMM varchar2 (6) NULL
, YYYYMMDD varchar2 (8) NULL
, DDMONYY varchar2 (7) NULL
, DDMONYYYY varchar2 (9) NULL
, fiscal_week_num_of_year integer NULL
, fiscal_week_num_overall integer NULL
, fiscal_week_begin_date_key integer NULL
, fiscal_week_begin_date date NULL
, fiscal_week_end_date_key integer NULL
, fiscal_week_end_date date NULL
, fiscal_month_num_of_year integer NULL
, fiscal_month_num_overall integer NULL
, fiscal_month_begin_date date NULL
, fiscal_month_begin_date_key integer NULL
, fiscal_month_end_date date NULL
, fiscal_month_end_date_key integer NULL
, fiscal_quarter_num_of_year integer NULL
, fiscal_quarter_num_overall integer NULL
, fiscal_quarter_begin_date date NULL
, fiscal_quarter_begin_date_key integer NULL
, fiscal_quarter_end_date date NULL
, fiscal_quarter_end_date_key integer NULL
, fiscal_year_num integer NULL
, fiscal_year_begin_date date NULL
, fiscal_year_begin_date_key integer NULL
, fiscal_year_end_date date NULL
, fiscal_year_end_date_key integer NULL
) 
;

ALTER TABLE dim_day 
ADD CONSTRAINT PK_dim_day PRIMARY KEY
  (
  date_key
  )
;

Column Definitions