Holiday games are predominately featured at, yes; holiday parties and you'll have a hard time finding a holiday themed game at a non-holiday party. Of course the first rule to deciding on a holiday themed game is to make sure that it is geared towards your holiday party or that it can be altered so that it's able to be geared towards the holiday that you are celebrating. For instance many basic games can be changed around or given accoutrements that feature holiday specific themes.
You can easily turn a relay race into a specific holiday themed event. On Easter it becomes and egg run. Guests better be careful not to drop the eggs from their spoons. On Halloween it becomes the bone relay. You can find a fake plastic arm or thigh bone and have the teams run their bones to each other.
Also, games need to be geared towards your guests. Are you going to have a lot of kids at the party? Or will this be adults or will it even have a lot of older guests? Older guests will not be able to keep up with the high energy level required of many racing and other active type games. While kids will not be able to stay still long enough to engage in a holiday themed board game. Holiday themed board games are perfect for those who are having a small group of guests over. Larger groups may not work so well because it will be difficult to get everyone centered around the table. Of course you can also set up a tournament with several board games going at once.
You'll also need to create prizes that are appropriate to the age group you having the party for. Adults and kids alike may go for homemade candies on holidays like Christmas, Easter and Halloween. While the Fourth of July you might want to give out sparklers.