It isn't even celebrated in most of Mexico. Without a doubt the celebrations are far more numerous and vigorous in the US than in Mexico as it has come to be the main day for Mexican-Americans to celebrate their heritage.
For those that don't know, it is not Mexican Independence Day, but just commemorates a battle a small Mexican force won at Puebla against a French army. Think of it just like the Alamo. A ragtag group holds off a stronger power for awhile, but eventually loses the war.
In the "Did You Know" category, after losing the war, Mexico was actually ruled for some years by a French emperor who built one of the more visited sites in Mexico City, the Chapultepec Castle.