Sentimental song.

My entire family comes down to the music room on or near Thanksgiving for the annual playing of The Last Waltz.

On Veterans Day I play "Veterans Day" by Tom Russell.
4th of July I play "4th of July" by Dave Alvin.
Christmas season brings out "Frosty the Snowman" by Leon Redbone and Dr. John.

I'm with the OP.  I've been playing Bela Lugosi's Dead by Bauhaus for about 25 years now on Halloween.

"Merry Christmas From the Family" by Robert Earl Keen from his album "Gringo Honeymoon". 
It's a family tradition that always puts my daughters into fits of laughter.

I gotta get me some more Gauthier, slaw. She’s my favorite "new" discovery. Some other songs I always go to are a couple by Brian Wilson, "God Only Knows" and "In My Room", and "What Becomes Of The Brokenhearted", sung by either Jimmy Ruffin (original) or Joan Osborne.

"Thanksgiving"  Mary Gauthier

This time of year..."The Monster Mash"

https://www.youtube.com/watch?v=l2PoSljk8cE

Also a seasonal favorite:

https://www.youtube.com/watch?v=tkplPbd2f60

Tchaikovsky's Nutcracker Suite at Christmas time.

"No Time To Cry" by Iris Dement, for any melancholy occasion. One of the few songs that, ironically, makes me cry.

Every day is a special occasion. I play Houston's " I will always love you " in my mind.