It's 4 am in Naxos and I was just woken by the sounds of youths marching through the streets beating drums. They're doing it to celebrate Ohi Day, which translates to "No!" Day. AKA, resist the Nazis day. It's the anniversary of when fascist Italy and Nazi Germany invaded and armed resistance began.

It's fun seeing how other cultures celebrate their history. And, you know what? Resisting Nazis might be the one 4 am parade I am totally down for.

What's your favorite local custom or holiday you've encountered that celebrates a region or culture's history?

That is a pretty cool one. I have 3 favorites I have encountered over my time spent living in other countries.
1. We once just happened upon the Palio in Sienna. This was in 1990 or 91 so before the internet could tell you when these were. We watched the entire thing from the center of the square. Had to stand for a long time, but it was worth it. It was one of the coolest experiences. Palio - Wikipedia
2. Fasching in Liechtenstein. We were there skiing over a long weekend and on the night of Fasching all of the local families got together and burned these big bonfires and there were folks walking around in these crazy costumes. Where we were you could see dozens of fires burning all over the country (You could see almost the entire thing from our viewpoint) I was in high school and had a lot of warm mulled wine that evening. Carnival in Germany, Switzerland and Austria - Wikipedia
3. Obon in Okinawa. We had a number of ancestral altars in our yard, and on Obon, they open the gates and let the families who the altars below to visit. No one told me beforehand, so I was like "Who are all these people parked in front of my house?" They bring decorations, candles and food and basically have a little picnic in front of the altar while remembering and paying respects to their ancestors and family. At one point in the afternoon, there were about 50 folks in my yard. I learned a lot about Japanese Buddhism through this experience. This was before Wikipedia, so you had to read books. Obon - Wikipedia

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1. We once just happened upon the Palio in Sienna. This was in 1990 or 91 so before the internet could tell you when these were. We watched the entire thing from the center of the square. Had to stand for a long time, but it was worth it. It was one of the coolest experiences.

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Watch the Winds of War. There's a great sequence on this.