The Winter holiday the Spanish love most: The Day of the Magic Kings. Lucky Spanish children get presents from Santa Claus on Christmas, but the Kings bring presents for grown ups, too.
This easily makes it the favorite holiday of the season, and on January 5th the city grinds to a halt to partake and observe the Kings Parade which crosses most of the city - the Kings float along throwing candy and small presents to the crowds.
Be warned, locals are very serious about their parade watching and will stake out their own areas and bring ladders to stand their children on. Avoid the ladder areas at all costs, or you will see nothing but Pampers.