My favorite is chocolate-covered cherries, which are not strictly holiday-specific, but they tend to pop up around Christmas and St. Valentine's Day, and be unavailable the rest of the year.
The particular kind I'm most fond of are the Cella's brand, which are not the rock-bottom cheapest ones, but still pretty cheap all things being equal, and have a little cherry floating in syrup inside a molded chocolate shell.
Once upon a time, sometime in the 1998/1999 winter, I was hanging out with Good Ol' Shawn. We had occasion to wind up at the convenience store on the corner of College and University. They had foil-wrapped chocolate-covered cherries for a quarter apiece! I got two of them, and absent-mindedly tucked them in one of the zippered hand-pockets of my winter jacket. (The teal one, rather than the forest green one, for those familiar with my jackets at the time.)
Later on, perhaps that very same night, we wound up at Shawn's girlfriend's apartment. Everyone was exhausted, and it was really too late, so Shawn and his girlfriend and I all attempted to sleep on the bed. It was a full-size bed, not a king or queen (and thankfully, not a twin). This resulted in me being sort of diagonal near the foot, possibly with someone's legs draped over me. I rolled up my coat and used it as a pillow.
The following morning, I realized the error of my ways: I had managed to squish the remaining chocolate-covered cherry inside the pocket of the coat. The pocket was stuck together, with bits of foil, chocolate, syrup, and cherry forming a gluey mess. For weeks after that, I would tug little bits of foil out of the inside of the jacket pocket.
It was finally washed in the spring, so no physical evidence of my folly remains, but Cella's chocolate-covered cherries will always remind me of that sleepless, awkward night.