I'm mostly familiar with Christmas scenarios as something that the RPGA used to be fond of and they put a few of the ones it's members came up with in Polyhedron (when it existed) over the years.
That said this kind of thing doesn't tend to work well in most fantasy worlds because they come with their own mythology, pantheons of gods, and everything else, and many have their own holidays and festivals, but few of which become all encompassing because there are just so many deities in a world where your oftentimes dealing with multiple pantheons. What's more as most fantasy worlds already borrow liberally from mythology and make it fairly commonplace, a concept like "Hellequin" or "Harlequin" already probably has an equivalent, and it's own worshippers. Something like "The Wild Hunt" probably appears frequently in certain regions, and might even be something a very high level PC can summon or command for a time.
To use default settings like Greyhawk, The Forgotten Realms, or even Krynn as examples it should be noted that almost any holiday empowered by one celestial force is going to see itself opposed by others, for good or ill. There is some story potential in that, but let's say you have some kind of Halloween equivalent where the evil gods of death and undead empower their minions to wreck havoc, that's not going to be as big a deal as you might think because it just means the opposing deities of divine undead bashing probably take offense and send their own people out with extra powers to combat it or whatever. Sure it's a great way to justify having a bunch of good aligned Paladins and Clerics duking it out with undead and perhaps getting adventurers for extra muscle, but all trappings aside there isn't much special about it, I mean that's pretty much par for the course for an adventurer. The wild hunt shows up and starts terrorizing a village, and that's impressive, unless you consider a character on the same level is around and decides to say counter-summon a Solar or two to kindly explain why it needs to go bugger off and go play somewhere where a high priest of goodness and order isn't protecting (indeed I believe for some deities summoning The Hunt or it's equivalent is similar to summoning an angelic or demonic being depending on what rules your using). I suppose if you pit stuff like this against low level characters in an isolated area it could be pretty bad, but against characters of the level where it's supposed to be used? Your generally getting into high level territory and even if your not getting into the territory of legendary rules, your still dealing with PCs probably loaded with magical items and scads of skill and power who are likely to say "Okay it's Herne the Hunter who is a 15th level Ranger with extras, accompanied by 30 5th level undead fighters on spirtitual warhorses and a dozen ghost hounds... this will be a good fight since we're too high level for his geas, let's roll initiative! I'm leading with an augemented magic resistance busting acidball Dibs on the antler hat!".
Okay that's a bit much. The point I'm making is that while it can be done, especially in home brew settings, there are reasons why I don't think it comes up much. Or at least not in my experience. Most RPGA adventures I read got away with it by being satires on regular adventures, and featuring super monsters like Santa's evil brother V.S. Claws (V.S. standing for Very Sharp since he has vorpal melee ability). Of course then again I remember RPGA also once statted out the Syrup elemental (which manifests in a form looking like Ms. Butterworth) at one point. That probably goes with the Christmas Caroling Triffids.
MMOs have come up with variations on these things though, but they tend to mostly be events going on alongside the usual game play, as opposed to actual adventures, and not something that works well in the context of a PnP RPG. Typically such festivals are portrayed as being regional, sponsored by regional temples or the like. For example Neverwinter has the temples of numerous good aligned deities and you see occasional week long events themed around one deity or other. For things like Halloween they just have you fight an undead siege or whatever. Warcraft went about as far as I've seen it with creating a few optional bosses once in a while, like The Headless Horseman for Halloween.