The AP Stylebook holds that the names of holidays and holy days should be capitalized. Below is a list (by no means exhaustive) of some of the most common holidays and their spelling and capitalizations according to AP Style.
April Fools’ Day
Christmas or Christmas Day (never abbreviate Christmas to Xmas or any other form)
Fourth of July or July Fourth
Martin Luther King Jr. Day
New Year’s or New Year’s Day
New Year’s Eve
Thanksgiving or Thanksgiving Day