This holiday is one of the shortest one in Azeroth and is a reference to a Mexican holiday with the same name, Day of the Dead. Being such a short event, starting on November 1st and ending on November 2nd, you will have only a few things to do.
Prepare for Holiday
You'll have to find and talk to Catrina. This NPC is found in every major city, near the city graveyard.
Before going to any graveyard remember to bring some Simple Flour and Ice Cold Milk. You will need those ingredients for sure.
There is only one achievement for this event: Dead Man's Party.
You should only /dance with Catrina when you find her. You'll complete the achievement and you will also receive a buff that will transform you into Catrina or her male counterpart, Chapman, for 12 hours.
There is only one quest available for this holiday: The Grateful Dead.
Anyone can complete this quest in Dalaran or Shattrath City. The quest is also available in your race's home city.
I guess we will be able to complete this quest in Pandaria as well. We will see pretty soon.
You'll need to buy Orange Marigold or Bouquet of Orange Marigolds from Chapman, the Day of the Dead Vendor. He also sells a recipe you'll need, Bread of the Dead.
After you have one of those items go to a graveyard and use it. This way you'll be able to see the spirit there and the will ask you to bring an offering of Bread of the Dead. Cook that bread and complete the quest.
The reward it will be Macabre Marionette, but unfortunately that's not a permanent pet. Maybe things will change for Mists of Pandaria. We will see.
Keep in mind that if you are searching for food for Tastes Like Chicken achievement you can make use of that Bread of the Dead recipe.
Well, that's pretty much everything you can do for this holiday. Usually the graveyards are crowded and everyone will stand mounted on NPCs, but even so it wont take you more than a few minutes to complete everything.
Happy Day of the Dead everyone!