The Unmasking is a celebration held every year in the city of Braavos to commemorate the founding of the city. It consists of ten days of feasting and revelry, and where participants where elaborate masks. At midnight on the tenth day, the Titan of Braavos is made to roar and all the celebrates remove their masks together.
It is mentioned that the religion of the Black Goat, the main deity worshiped in Qohor, has a number of holy days on it's calendar. While nothing has been revealed about the exact nature of these holy days, they are acknowledged by the sacrificing of condemned criminals on the Black Goat's altar, rather than the everyday sacrifices of animals.
While not stated to be tied to a specific holiday or festival, it is customary in Pentos that every year on new year's day, the Prince of the city ritually deflower two girls, known as the Maid of the Field and the Maid of the Sea, to ensure the city success in the coming year.
Volantis was the first colony founded by the Valyrian Freehold in western Essos. The Black Walls are an immense fortification that surrounds the oldest section of the city, and every year a group of six chariots, each drawn by four horses, race around the Walls in celebration of the city's founding.
The Great Games are a series of dramatic combat contests held in the Great Pit of Daznak in the city of Meereen. The Graces, priestesses of the local Ghiscari religion, give their blessings to these Games.
Xaro Xhoan Daxos mentions festivals where the Pureborn tell stories of how the Qartheen removed their unjust kings from power long ago and established their current form of government (in which the Pureborn effectively rule as kings in all but name).