I have occasional festivals and parades. Some are by nobles making moves in a city and others are in certain priesthoods. A few are local like a town having an founder day. I have had an adventuring group made up of veterans of the same war and were now bandits looking for work.
In a long-term celtic-themed Kingmaker campaign, I had a calendar with yearly holidays, giving folks notice in advance of the big ones such as Samhain (precursor to Halloween) where druids proclaimed new laws and the ruler of the lands (a gamer) was expected to do some ceremonies. They came to look forward to certain ones and build and prep ceremonies or celebrations.
I resisted doing it when I was younger, but have really grown to like doing holiday adventures. In December, I'm running a portion of The Year Without a Cinderclaws for my crew. (The whole adventure it way too long for a single session, which is all we'll be doing in December.)
I ran a Halloween adventure named Hydra Hallow-een. It had a 'library' that contained dead people that clerics would cast speak with dead to learn things. I believe there was an undead hydra as well. It was more a spooky tie to Earth holiday for the players and not the PCs.
I would be in for a Christmas/New Years Day one-shot, but not a big campaign
I've used religious festivals and Holy Days and have used festival games as a way to start adventures as an alternative to "you meet in a tavern" - instead "you meet in the archery competition"
I run Dungeon Crawl Classics, which has a slew of Halloween and Christmas/Winter holiday themed adventures.
My favorite, in fact, is called "The Doom That Came To Christmas Town," which incorporates characters and locations from all the old animated Christmas specials (Rudolph, Frosty, the Grinch, etc).
As others said, I’ve run several in-game holidays and festivals but no real-world holiday « special episode » or mini-campaign/one-shot. That being said, in-game holidays (regardless of the setting) typically share many similarities with contemporary ones in the first place, or with pagan rituals that have partly survived in pop culture and through Christian holidays.
I recently watched the 2nd episode of "Blue Eye Samurai" (excellent show, some nudity and violence, on Netflix). On top of being an excellent episode with amazing fight choreography, there was an excellent depiction of a religious festival. The mixture of civic festivities and religious devotion would make for excellent backdrop, or even substance, of an adventure.