All are ok, but the first two must be capitalized. The third must not be capitalized. The second sounds better to North Americans, but to Mexicans the first might sound better. If "Day of the Dead" is a familiar name of a holiday there then it would be good to say "Mexicans celebrate Day of the Dead" just as we would say they "celebrate Christmas". So, to say whether or not #1 is acceptable requires an understanding of Mexican culture that I do not have.

The Day of the Dead! I would use capitals here too.