Might and may express the idea of possibility.

They can be used interchangeably, although

some of your readers will take might as expressing less likelihood than may.

Also, be aware that may can express the idea of permission. When this creates ambiguity, opt
for might.

Nowadays, might have and may have can also be used interchangeably, but might have
sounds more natural to the native ear (to the extent that may have is considered an error by
some).

Might or May
Might and may both express the idea of possibility.

For example:

 I might go to the concert.

 I may go to the concert.

Is Might More Likely Than May?

Nowadays, might and may express equal levels of possibility.

However, be aware that some of your readers could treat may as more likely than might. In
other words, with the first example above (the one with might), they could treat the likelihood
of you attending the concert as, let's say, a 20% possibility; however, with the second
example (the one with may), they could treat this as, let's say, a 70% possibility. You should
not think of "weighting the possibility" as the difference between might and may though —
most people will not read that idea into it at all these days.

Eliminate Ambiguity with May

Be aware that may can be used for permission.

For example:

 May I go to the concert?

(This means the same as "Am I allowed to go to the concert?")

As a result, using may could create some ambiguity.

For example:

 I may go to the concert.

This is ambiguous. Does it mean "I am allowed to go to the concert" or does it mean "I might
go to the concert"?

When you have a situation like this, use might (or a version of allow) to eliminate the
ambiguity.

For example:

 I might go to the concert.

 I am allowed to go to the concert.

Use Might in the Past Tense

Nowadays, you can safely use might have and may have interchangeably. However, be aware
that some grammar-savvy pedants might insist that only might have can be used in the past
tense. To placate those people, you should opt for might have over may have.

For example:

 I might have cooked a lasagne if you hadn't called.

 I may have cooked a lasagne if you hadn't called.

(This is not wrong, but it does not sound as natural to the native ear as the version
above. This is especially true when the event did not occur. In this example, the
lasagne did not get made.)
For most native English speakers, might have usually sounds better. However, if you have a
good reason for using may have over might have, you should go for it.

For example:

 The mites may have caused the infection.

(In this example, the author was keen to avoid mites might.)

They're Helping Verbs

Might and may are helping verbs. (Can, have, would, should, and could are also helping
verbs.) A helping verb accompanies another verb in order to help express its tense or mood.