One good book is Ronald Hutton's Stations of the Sun: A History of the Ritual Year in Britain. While this doesn't focus on the history of all holidays, but rather the development of holidays in Britain, Britain is so influential in the modern celebrations of many holidays that it's very informative in regards to your question. For example, Halloween, as I've previously written about on AH, originates as a combination of the Gaelic quarter-festival Samhain and the Christian holidays of All Souls and All Saints. Easter and Christmas are two other holidays whose modern celebrations in many parts of the world are influenced by English history. So all in all this book is one great place to start!