Feeling silly one Yule session, I had Santa and his reindeer fly over the party as they were camped in a jungle. All the party sees is a red light (Rudolph) passing overhead, and what's their immediate reaction? They try to shoot it down!!! And one of them actually hits Blitzen...
Santa then lands nearby with silly gifts for some PC's (one, for example, got an extra letter in her name), more serious gifts for those who helped cure Blitzen, and lumps of coal (dropped from height as he left) for the shooters.
Other than that, "real" holidays don't crop up much in my game. I did once give a player a PC for his birthday (in the same adventure as Santa, come to think of it)...it was a PC he'd played in an old game; he was down a PC or two due to mishap, so with co-operation from the original DM we ported it over to my world and it just kinda...showed up.
About the only holiday that's become relevant in my game is something I call Skandigan, that happens about the same time of year as our Labour Day. Originally a Gnomish festival for their gods, over time it morphed into a great big Gnomish drink-up; other cultures thought this was a great idea, and adopted it. On more than one occasion, entire adventuring parties have been at minuses to their rolls when faced with an opponent the day after Skandigan, due to hangovers...
Lanefan