Horror stories based around a holiday:
Christmas - Black Christmas
Tales From The Crypt: segment: And All Through The House
Thanksgiving - Eli Roth's fake trailer:
http://www.youtube.com/watch?v=02n0koHeQZw
Halloween - Halloween
Trick R Treat
May Day - The Wicker Man
Valentine's Day - Picnic At Hanging Rock
Arbor Day - Mad Magazine horror movie spoof:
Lots of Christmas and Halloween based stories I'm sure, but what others?