Any experienced DM will tell you it's the little details that make or break a campaign.  Keeping track weather, giving NPC's from different regions distinct mannerisms, and having minor changes occur to NPCs while they are "off-stage" can help add a feeling of depth to your campaign world.  I'm not saying you should create detailed weather models or write the complete history of the local blacksmith.  Nevertheless, remembering to have it rain once and a while, or having the local blacksmith proudly tell the party that his daughter's wedding is coming up, can add a touch of realism to your game world.

Adding in a few holidays that are unique to your game world can help as well.  It can be a fine line to walk though.  A well placed harvest festival can add a feeling of verisimilitude, but an ill-advised "Whacking Day" can ruin a player's suspension of disbelief.  So when designing holidays for your campaign world, it is probably best to follow a some simple guidelines.

First, it is probably best to avoid simply transplanting holidays from the real world into the fantasy world.  Yes, I know that C. S. Lewis did this with Christmas in The Lion, the Witch and the Wardrobe.  Honestly though, with all due respect to Lewis, that was one aspect of Narnia that took me out of the story.  With a bunch of players riffing about whether Santa's elves should be Santa's eladrin, it would probably come off even worse in a game session.

On the other hand, completely alien holidays will ruin a players suspension of disbelief just as easily.  Too much time explaining how the Festival of the Dancing Yak came to be is not a good thing, at least for major holidays (it might work well for a local village holiday that the players would not expect their characters to know about in advance).

The trick is to design holidays that are similar enough to real world holidays that the players can grasp the core concepts quickly.  It's probably best to focus on one aspect of the holiday and push it to prominence.  Then build some unique elements into the holiday to brand it as your own.

I think a decent example of this is the holiday of Lurlinemas from Gregory Maguire's Wicked.  Although it is an obvious stand in for Christmas, it is tied strongly to the Fey Queen Lurline.  As imagined by Maguire, Lurline is representative of the old pagan beliefs of Oz, which are now out of favor with the empire.  Nevertheless, the popular holiday is celebrated, even if its original meaning has been forgotten.

(It should be noted that Queen Lurline is also mentioned in L. Frank Baum's novel The Tin Woodman of Oz .  So Maguire cannot get all the credit)

I suppose my final word of advice on crafting holidays for your game world is not to overdo it.  There is no need to detail a holiday for every month.  A little bit goes a long way, and two or three major holidays should be more than sufficient for your campaign!