As a DM I never fell into the Christmas scenario habit. Just didn't seem to fit, but I also was unaware of some things that I would have loved to put in games like the Krampus (how did I miss the Krampus?).
Then again I never did the Halloween themed dungeon thanks to multiple campaigns in Ravenloft just made a Halloween dungeon feel... weak and out of place. Of course in Wraith a Halloween adventure was absolutely awesome.
I'm mostly familiar with Christmas scenarios as something that the RPGA used to be fond of and they put a few of the ones it's members came up with in Polyhedron (when it existed) over the years.
That said this kind of thing doesn't tend to work well in most fantasy worlds because they come with their own mythology, pantheons of gods, and everything else, and many have their own holidays and festivals, but few of which become all encompassing because there are just so many deities in a world where your oftentimes dealing with multiple pantheons. What's more as most fantasy worlds already borrow liberally from mythology and make it fairly commonplace, a concept like "Hellequin" or "Harlequin" already probably has an equivalent, and it's own worshippers. Something like "The Wild Hunt" probably appears frequently in certain regions, and might even be something a very high level PC can summon or command for a time.
To use default settings like Greyhawk, The Forgotten Realms, or even Krynn as examples it should be noted that almost any holiday empowered by one celestial force is going to see itself opposed by others, for good or ill. There is some story potential in that, but let's say you have some kind of Halloween equivalent where the evil gods of death and undead empower their minions to wreck havoc, that's not going to be as big a deal as you might think because it just means the opposing deities of divine undead bashing probably take offense and send their own people out with extra powers to combat it or whatever. Sure it's a great way to justify having a bunch of good aligned Paladins and Clerics duking it out with undead and perhaps getting adventurers for extra muscle, but all trappings aside there isn't much special about it, I mean that's pretty much par for the course for an adventurer. The wild hunt shows up and starts terrorizing a village, and that's impressive, unless you consider a character on the same level is around and decides to say counter-summon a Solar or two to kindly explain why it needs to go bugger off and go play somewhere where a high priest of goodness and order isn't protecting (indeed I believe for some deities summoning The Hunt or it's equivalent is similar to summoning an angelic or demonic being depending on what rules your using). I suppose if you pit stuff like this against low level characters in an isolated area it could be pretty bad, but against characters of the level where it's supposed to be used? Your generally getting into high level territory and even if your not getting into the territory of legendary rules, your still dealing with PCs probably loaded with magical items and scads of skill and power who are likely to say "Okay it's Herne the Hunter who is a 15th level Ranger with extras, accompanied by 30 5th level undead fighters on spirtitual warhorses and a dozen ghost hounds... this will be a good fight since we're too high level for his geas, let's roll initiative! I'm leading with an augemented magic resistance busting acidball Dibs on the antler hat!". :)
Okay that's a bit much. The point I'm making is that while it can be done, especially in home brew settings, there are reasons why I don't think it comes up much. Or at least not in my experience. Most RPGA adventures I read got away with it by being satires on regular adventures, and featuring super monsters like Santa's evil brother V.S. Claws (V.S. standing for Very Sharp since he has vorpal melee ability). Of course then again I remember RPGA also once statted out the Syrup elemental (which manifests in a form looking like Ms. Butterworth) at one point. That probably goes with the Christmas Caroling Triffids.
MMOs have come up with variations on these things though, but they tend to mostly be events going on alongside the usual game play, as opposed to actual adventures, and not something that works well in the context of a PnP RPG. Typically such festivals are portrayed as being regional, sponsored by regional temples or the like. For example Neverwinter has the temples of numerous good aligned deities and you see occasional week long events themed around one deity or other. For things like Halloween they just have you fight an undead siege or whatever. Warcraft went about as far as I've seen it with creating a few optional bosses once in a while, like The Headless Horseman for Halloween.
If we ever do something holiday themed, it's usually relegated to semi-canon status; the PCs keep their XP and maybe a neat toy or two, but they know better than to ask Canta Slaus, the kindly old gift-giving eladrin who has overcome his race's chronic eating disorder, to come and save them when they're fighting baatezu. After all, we're here to teach the barbarian the true meaning of Christmas, not have another session of saving the world and getting rich.
I do like your ideas about the Harlequin, though; I've always found the commedia dell'arte forms really useful for making enjoyable NPCs that play off one another in satisfying ways, but I've never gone full-out with it. Maybe this year...
I ran a game where anyone was allowed to make and play and d20 system character (this was back in 3.0). I had a jedi and bounty hunter (SW), a fighter and cleric (D&D FR), and a retired Vietnam vet (d20 Modern). In all cases, a magical portal appeared and Nazis sprayed each character with submachine gun fire. Angry and/or confused at this turn of events, the characters defeat the Nazis and go through the portal to find the North Pole under siege by the Third Reich. The elves have put up a magical dome to keep the Nazis out, but sustained barrage has weakened it to the point of breaking (imagine the scene in Deathly Hallows, though this game was run well before the movie).
The party fights their way through the Nazi forces on a magical sled so that they can meet Santa and devise a counterattack. During said counterattack, a giant mecha-Hitler shows up, leading to an epic final fight upon which Hitler ejects in the mech's escape pod back through the portal he came from. Heroes save the day and receive Christmas presents:
The Jedi and bounty hunter each receive magical weapons (actual enhancement bonuses), but each has a Christmas theme. Specifically, the lightsaber beam was striped red and white like a candy cane, and the blaster made jingle bell sounds when it fired and smelled like peppermint. The fighter and cleric got magical cloaks that made snowflakes perpetually fall in their immediate area in addition to a couple of potent magical abilities. The vet got a kick-ass entertainment system (to replace the one shot up by the Nazis).