The Feast of Winter Veil
The later seasons of Azeroth are marked as a time of change in many cultures. The dwarves and the tauren especially look to a legend of the coming Winter Veil - the blanketing of the land in snow, thus heralding a time of renewal - as a time for celebration. Though the understanding of the legends that the races of Azeroth share are not dissimilar, the ways they choose to acknowledge them are as diverse as the races themselves.
The Legend of Greatfather Winter
The term "Winter Veil" is said to stem from a supernatural being referred in many cultures to as Greatfather Winter. As he would walk the land late in the seasons, winter itself would be his billowing cloak. In his wake was the blanketing of the land in snow, and thus it is said that Greatfather Winter would cast his wintry veil over the land. Though parts of Azeroth may lie in snow, it gives the land time for rebirth and renewal.
Ever consumed with the research of their origins, the dwarves choose to celebrate the season as a recognition of Greatfather Winter himself. They consider him to be the personification of one of the ancients of Azeroth - the titans. Much as they claim lineage in one degree or another to these mystical beings, they consider their snowy home of Dun Morogh as the prime example of Greatfather Winter's blessings.
The tauren and their shamanistic understanding of winter, along with their recent emergence into druidic endeavors, fit in well with the legend of Winter Veil. They focus almost entirely on the renewing aspects of the lore however, leaving legend worship to those races (as they view it) less in tune with the nature of things. Many tauren choose this time as the right time to give thanks for the blessings of their new home in Mulgore.
The idea of feasting during this time of year is one that traces its origins to the legend itself. As Greatfather Winter walked Azeroth, bringing winter in his wake, it is said he would provide a bounty for those who welcomed his presence. As such, the idea of feasting during the Winter Veil would bring together communities as they shared whatever they had. Typically, a single day of merriment and feasting welcomed the change, all in anticipation of the land's renewal.
Modern Day Observation
Other cultures have begun to recognize the Feast of Winter Veil as a time of great celebration, though not in the same traditions as the legend bases it in. Customs, often unrelated to anything other than a chance for celebration and gift exchange, have made their way into modern day observation of the season. Even the image of Greatfather Winter is sometimes used, but more as a harbinger of commercial exploit rather than as a supernatural titan.