I dont really have a favourite in-game holiday. I rarely take part in the little quest things and I've only completed one of them fully (Jakkru the Love Fool, had to be done...)
However, I do appreciate when all the major cities are decked out.
So I guess my favourite in-game holiday is probably the same as my favourite RL holiday - Christmas. I love it and the fact that Blizzard stick wreaths, tinsel and x-mas trees everywhere is awesome. The big tree in Orgrimmar is fantastic and I love running around in Undercity, home of the undead to see sprinkles of Christmas cheers, they're the WoW version of the Grinches.