Two days before the start of Christmas (I count from the eve, like any good pagan, knowing the new day starts with nightfall), and it occurs to me that I don't think I've ever seen players celebrate the holiday inside the game. Of course, it being Christmas, and most worlds having had no 'Christ,' there's an argument for this ... but then, the gift-giving and the celebration did not start with Christianity, but with the pagans.
It's a logical time for a holiday. Whatever your world, if it's a sphere then there are probably going to be longer days and shorter days (even if the gods put the planet in perfect order to start, what a job it would be to keep the thing from wobbling!), as the days shorten, the weather gets bad and - wow - is that ever true for we in western Canada. If it were not for the holidays around the winter solstice, the winter would be a long, intolerable affair.
December has a way of shooting the psychology of people into the new year, however, and towards spring. For a month, you have little else to think about than running around, getting things ready and celebrating, forcing you out of doors at a time when no sane person would go out of doors just for the fun of it. If you had stayed indoors, however, you'd be at the beginning of a very long bore ... a bore made more tolerable in February because it starts in January, and not November.
So, Saturnalia - this time right now - ought to exist even in a fantasy world, moreso because it's a celebration that derives from nature, and not some later philosophical religious ideal. Christ is usually taken to have been born in the summer ... but when the early Christian leaders tried to stop their followers from continuing the pagan Saturnalia the followers ignored them. The Christians were forced to co-opt it, neatly fitting the gifts of the magi into the gift-giving that had been going on for a milllenia already. The original pagan practice is why so many of the aspects of this holiday don't float with the church view ... and it's why your world would probably have such a practice, along with celebrations of fire in the cold winter, and life-giving trees posted indoors, and carols and storytelling and drunkedness, even if you had no Christ.
But have you ever heard of player characters going after side quests in order to get Yodo the Dwarf the +2 hammer he's always wanted, or to get Halferan the Thief that little blackjack signed by the famous Grey Catter? Do the players come to the sessions with brew and get plastered while planning a party for their hirelings, or bringing the message with mead and presents to the little orc children, who on this day can be forgiven for being born into a heathen race? Shall there not be a tree cut from the forest and brought to the Silver Minnow Inn, and prostitutes brought off the streets to warm themselves by the fire and sing along with the baker and the guardsman? Will not the players ease the burdens of their hirelings and march first in the snow, to bring flesh and wine to cotters living haplessly in the woods?
Is there no Holiday spirit in fantasy worlds?