Maybe it is so because the very calendars are against us?
February 29. Superstition has it that if you are a teenager and have sex on this day, you will be macheted to death by a maniac wearing a makeshift mask made out of a calendar. This superstition is, of course, the basis for the '80s horror movie Leap Year.
It goes like this: You and your friends are having a nice Easter party, when suddenly a deranged killer in a bunny mask starts stalking you. On April Fools Day, that guy you and your friends pulled a rather nasty prank upon is out to get you. On Halloween, the dead rise from their graves and start to terrorize the neighborhood. And on Christmas, The Antichrist decides to be born.
"Oh for Pete's sake!" you exclaim; "Couldn't these things happen on any other day, like, Tuesday?"
Sorry pal, Horror Doesn't Settle for Simple Tuesday.
When the horror happens, it tends to happen on Holidays and other special days marked on your calendar for various reasons: Lots of people tend to gather around on those days (usually at a remote location), calendar days make nice titles, and nothing quite says Subverted Innocence than (for example) Santa Claus killing people with an axe.
Also, remember, some days are sacred to pagan/occult religions and so "natural" choices for supernatural events. These days may have had Christian and/or commercial holidays added, or they may just be special to the pagans/witches/satanists/whoever, still not just Tuesday, even if the hero doesn't know this at first. Granted, if you consider all cultures, faiths and customs, every day on the calendar is bound to be a holiday to someone; this trope only applies when that holiday is specifically referenced in the work.
And of course, Lovecraftian unspeakable horrors don't have any use for the human calendar, so they won't bother to do the timezone math to see where to appear. They only care the stars are right on THEIR calendars and none of these calendars have Tuesday!
Popular trope among horror movies (especially in Slasher Movie genre), but not necessarily limited to them.
See also Attack of the Town Festival, Regularly Scheduled Evil, Twisted Christmas, Dangerous Sixteenth Birthday and variousholidayepisodes. Has nothing whatsoever to do with But for Me, It Was Tuesday.
Did I Mention It's Christmas? (or any other holiday) may be in effect for some of these.
Happens multiple times in The Dresden Files. Justified in that the barrier between the spirit and mortal worlds is weakest on Halloween, so all manner of nasty supernatural stuff happens on that day. It also happens to be the main character's birthday.
In the Harry Potter series, it just happened to be on Halloween night that Voldemort murdered Harry's parents. In fact, there's generally one major plot event every Halloween that Harry is at school, as well. First year: Troll gets in and wreaks havoc (the title of this chapter is even "Hallowe'en"). Second year: the Chamber is opened and takes its first victim. Third year: Black breaks in and slashes up the Fat Lady's portrait.
Averted but Lampshaded in The House On The Borderland, in which the anonymous writer of the journal remarks that if he were making up his account, he surely would have chosen to initiate its supernatural events on Halloween.
Buffy the Vampire Slayer. Buffy's celebrates her seventeenth birthday by sleeping with Angel and turning him evil. On reaching her eighteenth year the Watcher's Council subject her to a test when she must fight a psychotic vampire without superpowers. On her nineteenth birthday, Giles is turned into a demon; for her twentieth Buffy has to fight a god to protect her sister and on Buffy's twenty-first she's trapped in her house with a demon — on this occasion Spike suggests that it would be best if Buffy not celebrate her birthday, and since there's no birthday episode in Season 7 she's apparently taken this advise.
The Saga of Grettir the Strong reflects the medieval belief that on Christmas ("Yule") Eve, ghosts and demons have special power over people that shirk Mass: On Yule Eve, the shepherd Glam is killed by a ghost, and every year the troll woman of Bardardal raids the farmhouse at Sandhaugar.
The trailer also poked fun at the tendency of this sort of film to be released at least a few months away from its associated holiday, as it happened to come out not long before Rob Zombie's Halloween remake was released...in late August.
Stephen King's Cycle of the Werewolf, where the moon is conveniently full for a couple of holidays (New Year's Day, Valentine's Day, St. Patrick's Day, April Fool's Day, Homecoming Sunday, high school graduation, the Fourth of July, Labor Day, Halloween, and New Year's Eve).
The anthology book A Hacked-Up Holiday Massacre.
The Hack/Slash comic Entry Wound had every holiday-related slasher "waking up" early due to a cosmic disturbance. While various holiday slashers are alluded to, the main villain of the story was a Groundhog Day-based one (if the groundhog sees his shadow, six weeks of death ensue).
The Enfant Terrible film Home Movie has sequences set on a number of different holidays; in order, they're a birthday, Halloween, an anniversary, Thanksgiving, Christmas, New Year's Eve, Valentine's Day and Easter, which the climax occurs on.
Fearnet has produced a series of shorts featuring Sam from Trick 'r Treat celebrating a variety of different holidays, like Easter and Father's Day.
The Horror Seasons is an anthology that features Christmas ("Satan Claws"); Halloween ("The Darkest Secret") and Easter ("Easter Beast").
The Long Halloween: The Holiday Killer strikes on Halloween, Thanksgiving, Christmas, New Year's, Valentine's Day, St. Patrick's Day, Mother's Day, Father's Day, Independence Day, a birthday, then Halloween again. On April Fool's it's subverted by the killer himself.
Tales from the Grave, Volume 2: Happy Holidays is a horror anthology with all the segments dealing with holidays.
The Calender Man will tell you about his previous murders if you visit him on particular days during the year in Batman: Arkham City.
Clive Barker's The Thief of Always is set at the Holiday House, a magical residence which experiences a full year's worth of seasons every day. There's an Easter every morning, a Halloween every dusk, and a Christmas every evening. Granted, it doesn't become a horror story until the characters catch on to what's going on...
In Real Life, terrorists are far more likely to align their crimes with specific calendar dates than are serial killers, as the former sometimes schedule their attacks to make a political statement, while the latter are usually opportunists.
An exception would be the unidentified perpetrator of the so-called Astrological murders; his(?) killings always coincided with something like an equinox, a solstice, or a Friday the 13th.
4 Horror Tales: February 29
11/11/11 (These are separate films. November 11 is also Veteran's/Remembrance Day, but that observance does not appear to be an element in either of them)
The Columbine High School massacre took place on April 20, leading to speculation that the killers were neo-Nazis, as that date was Adolf Hitler's birthday. Others have suggested that they scheduled their killing spree for April 20 so that the school's stoners wouldn't be caught in the crossfire (they'd never had much of a problem with those kids). In truth, it was a defiance of this trope. In his journal, Eric Harris wrote that he wanted the massacre to happen on an ordinary day at school rather than at some major event like the prom (which had taken place three days earlier) or a football game, feeling that it would more properly shock Americans out of their routine. Furthermore, the massacre was originally scheduled for the day before, but had to be delayed because an order of ammunition only came late in the afternoon.
That said, the fact that they originally scheduled the massacre for April 19 has also led to speculation that it was a reference to the Waco siege and the Oklahoma City bombing, especially given the killers' stated desire to "outdo" those events.
Spoofs and Parodies
Mad Magazine spoofed the concept with Arbor Day, which became Hilarious in Hindsight with the creation of the aforementioned Arbor Daze.
Arbor Day is again the chosen day of horror when It's A Living took on slasher films.