Like Torak said, I like holiday events based on the lore of the game... if they happen to coincide with "real world" holidays then the event should still have a game-dominated flavor.

I think both Guild Wars and LoTRO do their festivals pretty well. GW has a "Canthan New Year" and "Dragon Festival" which are game-lore heavy, while occuring around real-world holidays. LoTRO has fairly generic seasonal festivals that feel like they can really happen in Middle Earth.

WoW probably has the most disconnected festivals - for example their Thanksgiving celebration. Not knocking the work that goes into them, but American-style Thanksgiving in Azeroth seems really out of place. With so many subscribers around the world, a large chunk of the playerbase probably doesn't even celebrate Thanksgiving at all so it must seem extra od. But, I have fun with it and do a few of the events - it doesn't stop me from enjoying a bit of the content for variety.