Hey Robert,
Good question, but this isn't built in. The day's background is highlighted with conditional formatting, and currently those calcs just look to see if the day is today (yellow) or outside the current month (pale blue).
Now you could change that calc to look for other things, like the day being in a list of holidays, but I think you'd see some real performance hits. That calc runs often in SeedCode Calendar (over 252 times in the month view) and it is currently VERY optimized. Having it reach out to global data could really add some drag. But you can try it, our video on working with tabs shows how to "unstack" the calendar fields and get at the conditional formatting:
http://www.youtube.com/watch?v=UGsf9egCWiI
A simpler way to do holidays is to create them as events. (You can get a little fancier by treating them as their own source, but that has performance penalties as well.) A final refinement, if you have a lot of events, is to change the calendar's sort order to holidays are always drawn at the top of the list of all day events. You can change that in the script "Sort FileMaker Records --- Edit Sort Orders Here ---"
Hope that helps,
John