Sponsors include comics publishers.
It's classic case of sampling, a sales promotion designed to increase short-term interest and start customers on the path toward long-term loyalty. Customers get comic books for free--but then, to keep following the stories and the characters, they have to buy the next issues. And that's how future fans are born.
Comic Book Day is very social, with 600,000+ Facebook fans, 41,000 Twitter followers, and a YouTube presence. The official site has a convenient store locator. In some areas, if you can't make it to a store, you can participate online (as shown in this UK online promotion).
In addition, Comic Book Day is using traditional media to help local shops attract customers. Check local newspapers and you're likely to see an article about the new comics or an ad by a local shop promoting this giveaway. Who wouldn't want to be among the first to see a new Doctor Who comic with three doctors?!