A few years ago I was searching for some in-town type adventures for my WarHammer Fantasy campaign and I came across the idea of having a festival week. Someone had posted online what types of events you could have at a festival week, including jousting, archery, and baking contests. I took those ideas, ran with them, and converted them to my WarHammer genre.
Each day of the week had a couple different events, one in the morning and one in the afternoon. Each day also included a grand feast in a common field. Everyone in town was invited. The PCs were welcome to enter any of the events that struck their fancy. This necessitated statting up some of the townfolk, but it was worth it.
However, because this was WarHammer, with each fun day worth of events, I had something sinister going on either while everyone was in the field playing or at night. These sinister plots built up...the enemy did their reconnoitering, and all chaos broke loose during the last event of the celebration week.
The players had a blast. They competed, they looked into rumors, and they ultimately helped defeat a menacing army (that cut a swathe through the town...I've talked about this before). It was a grand time.
Proof that my players had a good time: Two of them, a husband and a wife, made these shirts to give everyone in our gaming group. Hobbly Pie Week went down in infamy.