For Halloween and Christmas, I'd have to say Magic Kindgom for Mickey's not so scary halloween party and Very Merry Christmas Celebration. Of the two, you don't know how much i love the latter.
4th of July? That's a Good question...this year i heard that they made it easy to watch fireworks from anywhere and everywhere at Disney, including the contemporary lagoon, Magic Kingdom, and even Downtown Disney (although trustworthy sources tell me that the Downtown Disney one wasn't much)
For New Years, Pleasure Island was always the place to be, or so my family would say...
Thanksgiving though, that one's a good question. I wouldn't really know.
Does your annual pass actually let you get in on all of those days though? They're not blacked out for "special events" of sorts? If not, then man, that's amazing!