Great question, Andrea. Well, since I have no obligations (except to myself) during US holidays, I will work if a client has projects that need to be finished. Granted, I will take days like New Years, Christmas, Memorial Day, 4th of July, etc. off, but that depends on client needs. My unpublished policy on this may change in the future, but for now it's working for me.
The greatest thing about having my own VA business is that I don't consider what I do now as "work" per se, because I love doing it and find it relaxing. Compare this to when I was in the corporate world - then you're darn tootin' I would take off all the holidays offered and vacation time to boot!