Holidays are an integral part of many religions, so when an atheist leaves a religion they frequently leave behind the holidays as well. This often means leaving behind an important aspect of their social and family lives. Some atheists, though, continue to celebrate religious holidays -- do you?
It might seem obvious to say that if you no longer adhere to a particular religion, and in fact even regard the entire system to be a mass of superstition, then it would logically follow that you would also not observe the relevant holidays. Some atheists do take this position, but I think that the matter is a bit more complicated. Many, albeit not all, religious holidays are a great deal more on both the individual and the social levels than simply acknowledging religious beliefs.
Holidays can serve to form a connection to your own past by evoking memories of past celebration. Holidays can form and reinforce connections with the friends and family with whom you celebrate. Holiday events can also create connections across an entire society as people develop parallel experiences which forge subtle bonds. Rituals and celebrations, as long as they are not empty of personal meaning, can be worth preserving.
The way in which an atheist might best approach the question of religious holidays and the creation of new atheist holidays is to ask: "What might this mean to me?" Are you going to let Christians "win" by allowing them to decide what holidays like Christmas mean to everyone else, or are you willing to stand up and decide what it means for yourself?