Well, our first visit to a club was not a holiday event, but we can tell you one thing: we have loved the two Halloween parties that we've gone to, and they are still among our most outstanding club memories.
Talking about it afterwards, we realized that, aside from the fabulous and fun costumes that we got to enjoy seeing, there was something about a costume event that just naturally lent itself to a party atmosphere -- and particularly in a swing club. Because people are in costume, they seem to take on a different, more uninhibited personality because they are quite literally going there as "someone else." Hard to describe, but it was definitely a different kind of atmosphere!
Have fun with it, and remember that the costumes alone are also a terrific conversation starter, which is great if you're not good (as we aren't) at breaking the ice in a room full of strangers.