I don't have much headcanon in this area, but now that I'm giving it some thought... I wouldn't imagine that Clint would have good memories of the holidays. An abusive alcoholic parent does not happy memories make, and then in the system, particularly in group homes, holidays aren't generally cheerful. With a better brother perhaps, but not with Barney being who he was.

I think Natasha would take her lead from Clint. If he had painful associations, she would go with that. Once the two of them join the Avengers, if the group wanted to celebrate, the two of them might join in. I think it would depend on how they feel about the group then and whether or not Clint is willing to make new memories. If either one of them wants to go with it, I think the other would follow - they go as a team.

I'm looking forward to looking at the recs listed above. :-)