Holidays in CRM are stored in the CalendarRules entity but unfortunately Retrieve and RetrieveMultiple messages are not supported for this entity. Below is a snippet of code that will help to find the CalendarId that contains the holidays and how to retrieve the individual holidays themselves.
var org = (from o in Context.OrganizationSet
select o).FirstOrDefault();
var businessClosureCalendarId = org.BusinessClosureCalendarId.Value;
var businessClosureCalendar = (from c in Context.CalendarSet
where c.CalendarId == businessClosureCalendarId
select c).FirstOrDefault();
var calendarRules = businessClosureCalendar.CalendarRules;
Enjoy!
var org = (from o in Context.OrganizationSet
select o).FirstOrDefault();
var businessClosureCalendarId = org.BusinessClosureCalendarId.Value;
var businessClosureCalendar = (from c in Context.CalendarSet
where c.CalendarId == businessClosureCalendarId
select c).FirstOrDefault();
var calendarRules = businessClosureCalendar.CalendarRules;
Enjoy!