The Midrash relates:
Most people cherish the day on which they were born and make a party on that day. (Midrash Sechel Tov, Bereishis 40:20) [See also Ginze Yosef ch. 4; Ben Ish Chai Halachos, Year 1, Re'ey par. 17]
The Zohar relates that on the day of R. Elazar’s (Rashbi's son's) Bar Mitzvah Rashbi made a great celebration.
The Zohar further explains that the day of a Bar Mitzvah is analogous to the joyous day of a wedding (See Zohar Chadosh, Bereishis).
The Previous Rebbe revealed that on a birthday one should review his life history and seek ways to improve the areas that need improvement through Teshuvah.
[Just as the Exodus was a form of repentance so, too, every birthday must bring repentance.]
It is also customary to increase Tzedakah before Shacharis and Minchah, and likewise to study more Torah - revealed and esoteric - on one's birthday.