Some games are absolutely in love with special events while others never have them. Some games try to find an in-between, celebrating the major holidays and doing nothing much else. Others celebrate every major and minor and made-up holiday in existence. Others have no holidays, each day as static as the day before.
I think, when we talk about events, we are really are talking about is static vs. non-static worlds. Holiday events turn the worlds that we play in from the same old grind to something special something fantastic. It gives life to worlds that are otherwise static and never moving, never changing. NPCs stand in the same locations, doing their jobs, and the world is just becomes stale.
However, events liven things up. It makes things feel as if there is something new, something different. It makes each experience logging into the game something new and interesting. Games like Guild Wars 2 are basing their game on this basic principle / emotion. Every two weeks there is something new or different going on in Tyria. The world never stops changing.
However, there can be too much of a good thing. To some degree Humans love static. They love it when things stay the same. Think about it, going to bed at home is much more pleasant than most hotel rooms, even if the bed is firmer or the room colder / warmer than your own abode. Move a sofa and your house feels entirely new. There are legions of people who specialize in the psychology behind this stuff, but I digress.
Personally, Im someone who dislikes extremes. I dont like something being extreme one way or another. Games with no events are stale and boring and lack something interesting to entice me to login or give me some kind of welcoming atmosphere. Likewise, games that change too much are overwhelming. Logging into Guild Wars 2 after a month hiatus can be a shock considering large portions of the world or story could be different (especially true in major cities).
I do think there is a game that gets events right and thats World of Warcraft. That shinning pinnacle that all other MMOs aspire to be, sometimes thats for a reason (other times its because well, luck). There are real world events (the usual seasonal holidays) followed by unique game world exclusive holidays (that usually fit less known holidays). Sometimes there is a ton back to back, like the fall and winter, and sometimes there are large gaps between them.
Even then though, the events repeat year after year, thats where Guild Wars 2 I think, at least, has it worked out. Unless the events repeat over and over again (which I doubt), there is at least something new, something fresh to look forward to. The major holiday events may stay the same, but the fresh new content keeps flowing in. Thats something completely unexpected to look forward to. Although, against, as I mentioned earlier, it can have its downsides as well.
Overall, I think an MMO isnt an MMO unless it has some kind of holiday events. Something to make the world lively and make it feel like home. We, as gamers, dont ask for hyper realism. NPCs dont have to have unique walking patterns and the world doesnt have to use real AI, but we do like it to feel like it has some value to it beyond the status quo. Thats where we look to events to help break up the monotony.