Pioneer Day, July 24, commemorates the 1847 arrival of Mormon settlers in Salt Lake Valley. Some church members and missionaries in the Southwestern States Mission observed the holiday, but, as with the Fourth of July, city-dwellers celebrated more elaborately.
Elder Jones noted “the 24th” both years but otherwise reported a normal day; some traveling Elders didn’t mention it at all.  There are, however, late-July conversations “about Utah and her people” and “our mountain home.”  July falls within the malaria season and in many Pioneer Day entries one or both of the Elders were sick.
Elder Folkman shows the rural/urban switch. In 1900, working in Galveston, they “Done the usual tracting and as it is the 24th we thought we would celebrate, so at five o’clock we went down to the beach. Had a bath and one dish of ice cream, one glass of soda water, then went to our room and went to bed.” The next year, no longer in a city, he “Spent the day study[ing] and writing letters.” 
In St Louis and at mission headquarters, the celebrations were more formal. In 1900, church members and missionaries “decided to have the old folks gathering on the 24th ‘Pioneer Day.’”  In 1901 the Relief Society sponsored an “ice cream social.”  In 1903, 1904, and 1905, the diaries record full programs, including congregational singing, musical performances, speeches, and recitations.  For the 1904 St Louis program Sister Cluff composed and recited a poem about
Those great men and women, too Who gave their lives and all they cherished For what they felt and knew was true.” 
The poem, like other program elements, emphasized patriotism:
Where in history can you show us Men with hearts more brave or true In the service of their Father And of their loved country, too.
A very brief search suggests that the program format and content was typical of programs from the Mormon Culture Region. 
In 1904 Pioneer Day fell on a Sunday so celebrations were held Saturday or Monday.  If anyone gave pioneer-themed sermons around Pioneer Day, I haven’t noticed. 
The “Southwestern States Mission” series uses the diaries of
six seven eight (as of 2012 Jun 17) missionaries who served in eastern Texas or, in the case of the Sister missionaries, in Kansas and Missouri, around 1900 to illustrate aspects of Mormon material culture, lived religion, and social History. The missionaries are Mission President Duffin, Elders Brooks, Clark, Folkman, Forsha, and Jones, and Sisters Carling and Cluff. The series is inspired by Ardis Parshall’s serial posting of the missionary diary of Willard Larson Jones at Keepapitchinin. Previous installment here.
 “The 24th had come around again. We concluded to stay over another day as Elder Pierce was quite weak and I was afraid that he would give out.” (Jones, 1901 Jul 24 Wed); “…walked 8 miles to a friend of Elder H’s where we were intending to spend the 24th. We walked upon the gallery. The lady told us there was the road, to take it. She said are you those old Mormons? “Yes ma’am.” Well, she said that she had been bothered with us as long as she was going to, so we were ordered to take the road, and we obeyed like men; went about 14 miles further to another friend where we stayed overnight. I was so sore that I could hardly walk. I was thankful when we came to the stopping place.” (Jones, 1900 Jul 24 Tue); Clark makes no mention either year. Elder Forsha doesn’t mention the holiday but he took it pretty easy: “July 24. We spent the day in talking with Bro Kendricks and Family writing letters Etc until after supper when we all got. our Hymn Books. and sang. Hymns. until bed times” (Forsha, 1900 Jul 24 Tue). On 1900 Jul 24 Brooks was with some Williamsons and makes no mention of Pioneer Day. Twenty eight years later, the 15th annual Pioneer Day celebration at Williamson settlement drew 4,000 attendees with preaching, a seven-head beef barbeque, a rodeo, and a nine-hour dance (as recounted in the Beaumont Enterprise, 1928 Jul 25). I haven’t gone searching for other records, so I don’t know what was going on in other areas after 1905.
 “…returned in time for dinner after which we sang hymns and talked about Utah and her people until about 5 O’clock.” (Forsha, 1900 Jul 20 Fri); “We sat and talked together all day upon different subjects. They were anxious to see our mountain home if they ever get able.” (Jones, 1900 Jul 31 Tue).
 Folkman, 1900 Jul 24 Tue, 1901 Jul 24 Wed. It is possible that he was celebrating by taking the day off. Folkman’s observance of Independence Day followed the same pattern: he and his companions took a holiday in the city but he recorded nothing while traveling the next year.
 In 1900 mission headquarters was at St John, Kansas. “According to request a number of the saints met this evening, and we decided to have the old folks gathering on the 24th “Pioneer Day”. Appropriate committees were appointed, with the other Elders and self on each as chairman of each committee. During the week committees met and made arrangements for the reception of our guests and about seventy-five invitations issued.” (Duffin, 1900 Jul 16 Mon); “Yesterday afternoon we decorated the church, and made preparations for our gathering today. today was most favorable for our gathering, being cool and pleasant. About sixty were in attendance. Had a very pleasant time. Although we invited the ministers, not one was present.” (Duffin, 1900 Jul 24 Tue).
 Sister Carling recorded the “party” in Kansas City, Missouri, but specified that it was “‘Pioneer Day’ at home in Utah.” I’m not sure what to make of the “at home in Utah.” Perhaps she meant that it was a public holiday and not just a semi-private get-together. Also: Carling wasn’t the only one to put quotes around “Pioneer Day,” but I don’t think they mean anything extra (but I’m no orthography expert). “July 5, spent quietly at home. I went down town with Sister Milligan to get the things for our party which is to be given by the Relief Society, on the 24th. This afternoon, helped Bro. Forsha a little in the office, and did a little mending.” (Carling, 1901 Jul 05 Fri, p 27); “We are going to prepare for our ice cream social to be given tomorrow evening here at the office. The sisters came to help, and we have the house cleaned up and it seems quite homelike to have a clean house again. In the evening, I attended street meeting and had my first experience at street speaking.” (Carling, 1901 Jul 23 Tue, p 34); “Wednesday, July 24, “Pioneer Day” at home in Utah. I spent most of the day at home studying and practicing on the typewriter. In the evening we (the Elders and Saints) had an ice cream social. Out on the yard at the office. Had a very nice time.” (Carling, 1901 Jul 24 Wed, p 34).
 Duffin did not leave any entries for 1902 July. “…today the Elders laboring in Kansas City, the Saints and friends from the two Kansas Cities and from Independance met at Budd Park, Kansas City and celebrated this day commemorating the entrance of the Pioneers into the Salt Lake Valley. The program, consisted of Songs, recitation by Sister Belle Richards, Speech, Elder Chas. A. Workman – “Why we Celebrate”; Speech, Elder James G. Duffin – “What Mormonism has Done for the World”; Paper Walter W. Morrison – “Education in Utah”, and picnic.” (Duffin, 1903 Jul 24 Fri); “…Yesterday being “Pioneer Day” we celebrated it to-day, owing to its coming on Sunday. The missionaries, members of the Church from Kansas City and Independence and some friends met on the south-east part of the property purchased from Mrs Swope and the following program was rendered: Singing- Invocation- Elder Albert E. Stratford. Singing- Address- Prest. James G. Duffin Quartet- Elders Walter W. Morrison, Arthur Livingston, David O. Larson and Jensen. Recitation- Elder Jensen Solo- Nellie Thomas- lady missionary- Quartet- Recitation- Mauree Sentiment- Bag on the Plains- D. O. Larson Songs & etc. After the program was rendered a nice picnic was served. All enjoyed themselves During the serving of the picnic- Bps. Kelley and May of the Reorganized Church came on to the grounds. There were about one hundred people present.” (Duffin, 1904 Jul 25 Mon); “Our picnic was a great success. About thirty Elders, Saints and friends were at the park and our program went off nicely. It being the very first celebration of the Pioneer day I will give it in full, so that I may be able to recall it. [¶] 1 Song Utah queen of the West. [¶] 2 Invocation Elder A.P. Spillsbury [¶] 3. Song “Star-spangled Banner. [¶] 4. Ad[d]ress of Welcome Sister Josie Cluff [¶] 5. Solo Sister Martin [¶] 6. Rec. “A woman’s choice Elder A.E. Wooten [¶] 7. Song. O Ye Mountains high. [¶] 8. Oration Prof. Cummings [¶] 9. Chorus S.S. Primary Class [¶] 10. Song “America” [¶] 11. Benediction Elder A.P. Spillsbury [¶] Picnic, Toasts and games filled in the time until 8. P.M. … Because a number of our friends could not leave their work on Monday we decided to hold our celebration this (Saturday) afternoon as the 24th comes on Sunday. The Oration by Prof. Cummings was much appreciated and, in fact all the numbers were well rendered.” (Cluff, 1904 Jul 23 Sat).
 Titled, “Welcome ad[d]ress, July 24 1904 St Louis” in the entry for 1904 Jul 23 Sat:
Often have you heard the stories / Of our heroes, old and young’ / But theres one small band of brave ones / About whom not much is sung.
‘Tis of them we wish to tell you / Those great men and women, too / Who gave their lives and all they cherished / For what they felt and knew was true.
They were first led by a prophet / Whom the world will yet agree / Was one whose teachings and example / Will live throughout eternity.
From the time they took upon them / Christ’s most great and holy name, / They were scoffed at and were driven / From the valley o’er the plain.
But they lived so near their Maker / And they gained so much from Him / That for not one single moment / Did their lamps of faith grow dim
Uncomplainingly they traveled / In search of rest and home again, / That so far had been denied them / By those self-styled Christian men.
Valiantly they built their houses / To protect from wind and rain / But e’en the elements were kinder / Than those who sought to cause them pain.
Again they drove this band of heroes / From their hoes and from their land / And their lives were only spared them / By a loving father’s hand.
Finally their prophet martyred / They were driven on again / With their homes in flames behind them / And in front a trackless plain
At their country’s call they halted / And from out that little band, / Soldiers numbering five hundred, / Went to fight for this fair land.
Through it all they served the Father / And to him appealed above, / That their foes might be forgiven, / And their hate be turned to love.
Love for him whom they were fighting / When they fought his chosen few / Who were striving int heir weakness / To be loyal firm and true.
For the Father said in earnest / What-so-ever thing you do / To the least of mine, the lowest / That thou doest unto me.
Oer that desert plain they wandered / Singing praises to their God / Tho’ oft they marked that dreary pathway / By loved ones laid beneath the sod
Oh, what prayrs and grateful shouting / Did their loyalty bespeak / when they saw the starry banner / Raised aloft on Ensign Peak.
Do you wonder that we love them / Honor them and praise the day / That they planted in the mountains / That which God has said should stay?
Where in history can you show us / Men with hearts more brave or true / In the service of their Father / And of their loved country, too.
Help us, then to sing their praises, / And to render thanks aloud, / For those noble men and women / Of whom we all are justly proud.
 See, for example, at Richfield, Sevier Co., Utah: Deseret News, “Richfield … Program at Tabernacle,” 1901 Jul 26, p 7. At MHA last month Andrea Radke-Moss and David Pulsipher presented papers on birthday celebrations and peace meetings, respectively. It might be interesting to see how the Independence Day and Pioneer Day programs compared in format and content.
 “…Yesterday being “Pioneer Day” we celebrated it to-day, owing to its coming on Sunday.” (Duffin, 1904 Jul 25 Mon, in Kansas City, Missouri); “On Saturday Afternoon next we have a celebration in honor of Pioneer Day, at O Fallen Park. As the 24th comes on Sunday we decided to have it before as more people can get away on that day than Monday.” (Cluff, 1904 Jul 21 Thu, in St Louis, Missouri).
 In fact, the word “pioneer” only shows up in reference to Pioneer Day, and in all but one instance, it’s in “Pioneer Day” itself. Sister Cluff did not use the word “pioneer” in the entry, but she reported a lesson on Pioneer Day that included early church members: “We had a most splendid Sabbath school this morning. Our subject was Christ’s ministry, the sacrifice &c. Bro. Dean told in beautiful language the story of Heber C. Kimball when the prophet Joseph said for him to give his lovely young wife to him – the prophet, and how, when after fasting and prayer and sleepless nights for the young couple, Heber took her to the prophet, and how the prophet turned their sorrow into joy by saying it was not required of him that he was testing his love for him (the prophet). He took him in his arms and blessed him. There was no dry eye in the class. But it showed how obedience can bring blessings on us. (Cluff, 1904 Jul 24 Sun).