Winter festivals probably got their start when people realized that, yes, the Sun was coming back and the world wasn't going to just continue down into eternal darkness and ice. In a world with active gods that might be a consequence of not doing the winter rituals...
Usually I throw in five or six good holidays to spice things up. There's usually one for the solstices and equinoxes, an important battle, death or birth of an important figure. One or two campaigns, I've had holidays based on the ascencion day of a new God.
For holy days, I usually base those around whatever I've worked out about the God. A god of nature and elements will have the ones mentioned above, plus a 'Good Harvest' holiday where the God is thanked by a tremendous feast. A spring festival will usually include the first wine, and devolve into a whole lot of fornication at the end. There will be a few random feasts and celebrations throughout the year, though not everyone gets involved in those - usually just the wealthier townsfolk have time just to 'take off', though the country folk have some echos of it.
A god of merchants/cities/civilization will usually have some present-giving associated with the rites and rituals.
There will often be 'mystery plays' where people act out important events in the god's mythology. There will be dances and revels. Sometimes, servants of the deity will join in with the revelers if they are doing a particularly good job of pleasing the god. Very rarely, the god himself will join in.
Rural folk will have more 'quiet' holidays, where simple observances of the God's power and bounty are recognized, and some propiation (sp?) occurs, to turn away His or Her wrath and placate the God. They do a lot of things like spill the first drops of drink 'for the Goddess' or put out some milk at night for Her servants (which suspiciously look like the barn cats). A rural innkeeper will sometimes splash the doorway with the first mug of wine drawn that day, to 'make way for the God', or the miller will let a handfull of flour be taken by the wind.
Really advanced countries will have secret holy days where just the clergy gets together to do rituals and rites that make certain things happen (or prevent the God's wrath). If I'm feeling very mystical in a campaign, those rites and rituals become very literal: if they are not done properly, or if they are interrupted, bad luck or worse can happen. I ran a game once where the party interrupted some ritual of that type. Everyone in the country had a -3 to every roll for the next year, the crops didn't come in, fruit withered on the vine, rats ate all the stored grain, etc. Needless to say, everyone was hunted down and crucified for that little debacle.
