There's nothing OOTB to do this, but assuming you have the holidays, you
can create a calendar/event list then use a view and/or audience
targeting to display items specific to a country.

It eliminates an option for me.

As i know, it is support  for holidays in outlook 2007? since
sharepoint calendar  and outlook calendar is synchronizing two-ways,
maybe it is possible to get holidays and events  from outlook calendar?

If you have a source for the holidays in Outlook (I don't think this is
OOTB either) then yes, you can drag-and-drop them from you Outlook
calendar to a SharePoint Event list within Outlook and they will be
synced.

In Outlook 2003: Tools -> Options -> calendar  Options -> Add Holidays, then
just choose a country. This is a one-way action, so choose carefully, or
you'll have to manually delete each one.

Thinking out loud here...I wonder if you could do this directly to the
SharePoint calendar if that is the only calendar selected?