There is Carnaval every year in February at the malecon (boardwalk) in La Paz. They shut down the whole malecon for three days and have it full of stands with vendors. They bring in musicians and dancers, who put on shows. There is a fair and they have Ferris wheels and all sorts of rides for the kids.
In terms of holidays, Dia de los Muertos, which is the Day of Dead, is celebrated every 1st and 2nd of November. There is a celebration for the children and another for the adults. The tradition is to go to the cemeteries and take certain kind of flowers and bread and build altars. On the altars, there will be sugar skulls (skulls made of sugar decorated with beads), bread, and anything that the person enjoyed during life. People will sometimes even take their dead friends or relatives a bottle of beer or a pack of cigarettes.
Semana Santa or the Easter holidays is also widely celebrated here. There are two weeks, which are Semana Menor and Semana Mayor. It is very traditional that everybody go to the beach and go camping with the family on those days. During those two weeks, you will find a lot of Mexican families camping out on the beaches in Baja.
Surprisingly, Cinco de Mayo is not that big of a holiday here in Mexico like it is in the States. The big holiday here is Diez y Seis de Septiembre (16th of December) or the Mexican Independence Day. The governor or the mayor of the state will do a speech at the government building in La Paz and they will also have a big party and close down the main road. They usually have a parade to celebrate Independence Day.
There is also a big celebration for tortoises on the Pacific side of Baja Sur, north of Ciudad Constitucion, which is 2 hours north of La Paz.
(Map of missions through Baja California, Mexico, pictured.)