Well,

For the Faith of the Seven, I’m thinking significant events: the Anointing of Hugor of the Hill, the first landing on the shores of Westeros, the Battle of Seven Stars, the founding of the Starry Sept, the crowning of King Aegon I, the birth and/or death of Baelor the Blessed. Oh, and days to praise each of the Seven, which we already knew about. 

For R’hllorism, I’m going to guess more solar-based events: the solstices, the equinoxes, the eclipses, etc. 

The worship of the Old Gods seems too decentralized to have holidays, but I could see holidays around the changing of the seasons, the harvest cycle, etc. 

The Drowned God thinks that holidays are for the weak.