I have included this feature in some of my non DNN calendars. The method I liked the best was adding a "All
Day Event" check box to the edit page. When checked the start time would be stored as 0:00 and the end time as 23:59.

Since a time of 23:59 could not be manually selected I would check for the presence of this time and replace any time range displays with the words "All Day". Displaying "All Day" has the benefit of making the event look the same on calendars even across time zones. As you said very useful for marking holidays, vacations, etc..

The DNN Events module stores the time values differently then I usually do, it stores a start time and a duration. Perhaps a start time of 0:00 and a duration of exactly 24 hours could indicate an all day event. Or it might be easier to add an "AllDay" Boolean field to the Events table.

Questions and comments welcome.

Dan