I currently live in Los Angeles, which is essentially the vehicle by which all American holiday traditions are exported to the rest of the world. If there were unique holidays, we would have figured out a way to market them to you by now.
However, I grew up in Northern New Mexico, which is unique in celebrating the Fiesta to commemorate the day the Spanish retook the city from those damned heathen pueblo indians. Which would not be noteworthy except for the fact that this "celebration" is accomplished by the Kiwanis Club assembling a human effigy, giving it voice, filling it with fireworks and setting it on fire, thereby transforming greater Santa Fe into a disaster area of drunken debauchery. Yeah, "Burning Man." Except we've been doing it since 1924.
The body count has gone down considerably since my youth; used to be the violence would claim a half-dozen lives every year. Great effort has been expended to make Zozobra a "family-friendly" event since the nadir of the early '80s.
Pretty fucking pagan for a state so breathtakingly catholic that you couldn't even buy mouthwash on Sundays because of the alcohol content.
Part I, 3 min. The making of.
Part II, 3 min. They used to "sentence him to death."