I believe that every religious holiday should be celebrated, enjoyed. When I was a kid, I always wanted to celebrate Hannukah (and one day, I swear, I will!). That year, mom and I made a minora out of marshmallows and lit the kabob spears that we used to connect them... every night.
At the same time, I think it would be tres, tres difficult to celebrate every single religious holiday. You'd die. Gift giving would take over your life. You wouldn't have any money.
So you should choose a few that you do want to celebrate, whether they're your religion or not.
I don't know many holidays. I know the Pagan Wheel of the Year, Kwanza, Hannukah, and the Christian holidays. That's it. I intend to learn about more in the coming year or so.
I celebrate some of the Christian holidays (Easter, Christmas). I also celebrate 6 / 8 of the Pagan Wheel of the Year Sabbats.
Christmas is one of my favourite times of year (though recently, it's lost its lustre to me). I mean, seriously, it's hard not to love gingerbread, reindeer and lights. If I think of the word "Holiday", I think of a massive Christmas tree with gifts under it.
If I think of the word "Sabbat", I think of Samhain. I also think of the typical cauldrons over a fire, etc., even though that doesn't always happen at Samhain rituals.
I do not celebrate Imbolc or Lammas. It's a personal preference. I just don't like those two holidays for some reason. I don't like what they symbolize or anything.
I do celebrate...
Yule, which is a few days before Christmas Day. It's the birth of the Great God. The time of Greatest Darkness, shortest day of the year. The time when the son is reborn from the ashes of darkness (as the God is symbolized by the sun).
Imbolc. The recovery of the Goddess after giving birth to the God. The lengthening periods of Light awaken her. The God is a young boy. Fire Festival.
Ostara. (This one is mine / my mom's birthday!). The Spring exquinox. The God matures. Light is overtaking Darkness. A time of beginnings.
Beltane. This one is one of my favourites. This one is a Fire Festival marking the time when the God and Goddess fall in love with one another, make love, and the Goddess is impregnated. It's also known as May Day.
Midsummer / Litha. Fire Festival. The time when the powers of Light reach their highest point. 
Lughnasadh: The first Harvest. The God loses his strength and the sun rises father in the south; the nights grow longer. The Goddess realizes that the God is dying, yet is also inside of her as a child.
Mabon is the autumnal equinox, completion of Harvest (I don't celebrate Lammas mainly because I figure that three holidays for Harvest is a bit much). The Go prepares to leave his physical body.
Samhain is usually viewed as the final Harvest festival, but I simply see it as the day of the Dead - a time to reflect on the death of a new year and loved ones past (RIP Grandpa). The God dies. Fire festival. Samhain is generally viewed as the Pagan New Year (Though I still see January 1st as being the New Year!) 
After Samhain comes Yule once more.
More on this later. Need to go somewhere now.