The Winter Moon Celebration was no more. With no princess to revere, ponies had seen little reason to continue the tradition. In the wake of the Nightmare, the longest night of the year no longer seemed like something to celebrate. Over time, the festivities were shifted a few days down the calendar, and thus what had been a quiet time of togetherness for friends and family grew into Hearth's Warming as it was now.

In these modern times, the only special occasions on the winter solstice were the Fall Finale and the first snow of the season. At least the falling flakes offered a distraction for Luna on that day, for they brought to mind her dear friend Snowdrop, and how folklore had so horribly misrepresented her. Really, the very thought of that proud warrior as a mewling little waif. Luna didn't know whether she wanted more to laugh or to thrash whoever was responsible for that travesty. Perhaps both at the same time...

Ah, but now was not the time for Luna to think fondly of icy blades that froze the blood they drew into yet more blades. Now, a turning of her moon after her sister's White Sabbath, when the night took the majority from the day, it was the night her ponies had chosen to fill the gap left by the Winter Moon Celebration, though they knew it not. Truth be told, neither had Luna at first, and her fragile pride had nearly spelled its end. But once again, the Bearers of Harmony helped her see through her resentment. The festival, like its participants, had been disguised, but the Bearers had removed its mask, revealing what she had thought a grave insult to be a strange sort of tribute.

Yes, it was Nightmare Night, and Luna strode through Ponyville, adoring and adored. Dear Pipsqueak cleared her way and announced her presence, marching in front of her in mock armor styled after her Night Guard. Frolicsome Meadowlark had even made a show of assigning the colt to her side, and so Pipsqueak rightly strutted, proud as any two nobles Luna cared to name and far more worthy of her time.

Many ponies braved Luna's young guardian to bid her greetings on this night, costumed as all manner of things real and imagined. Ponies danced and played in her beautiful night, and where once she had brought screams and uncertainty, now laughter and joy trailed in her wake.

And there was candy. Such candy. Luna admired much of the progress ponies had made during her banishment, but little was as close to her heart as the advances made in the confectioner's art. Still, if Celestia did not allow herself to knight the Cakes, then Luna supposed she would have to leave Madame Dulcinea unelevated.

At one point, as Luna was laying siege to targets with pumpkins, Twilight Sparkle approached her. Twilight's guise was Hockrates; she was clad in a toga and bore a wooden cup, though one blessedly clean of hemlock. "I'm always happy to see you, Luna," she said, "but don't you ever get tired of Ponyville? This is the third year in a row you've come to see us."

Luna smiled and released her catapult. A direct hit, the gourd sundering itself against the wooden battlements. "I will always love this village, Twilight. Here is where my ponies first welcomed me back to sanity. Here is where I learned the art of fun and its applications in terror. How could I not come here on this most wondrous of nights?"

"Don't get me wrong, we're always happy to have you, but..." Twilight looked down and ground a hoof into the grass. "Well, you remember how everypony reacted that first time."

"Not everypony," answered Luna. "You did not, nor did good Applejack." She smiled down at Pipsqueak. "And soon enough, the rest of the town followed suit."

"And now you're the best part of Nightmare Night!" Pipsqueak cheered.

Twilight frowned. "But if that was how ponies reacted in a town where they'd already met you before, imagine what they must think elsewhere in Equestria."

Luna chuckled. "Tell me, Twilight, do you recall how I tried to sway Rainbow Dash from her cause in the Everfree?"

"The Shadowbolts, magical projections of some kind," Twilight said immediately. "I never got a chance to examine them closely, so I don't know whether they were illusions or constructs. I could see them, so I know they weren't just phantasms, but beyond that—"

Luna raised a hoof, silencing her. "Ah, but Twilight, who ever said they were mere projections?"

Twilight frowned a bit as she considered this. Her gaze grew steadily more distant as her thoughts deepened, until in one moment she went from neutral to utterly aghast.

Luna grinned. There were many ways to deliver a good scare. She was experiencing several of them right now.

In Manehattan, she stood at the head of a tremendous herd of foals, not so much chaperoning their fright-or-biting as she was leading their raid on the city's sugar supplies.

In Baltimare, she bestowed a dark blessing upon the crabs of the harbor, changing them into sinister but harmless creatures that chased ponies about the beach amidst shrieks of delight.

In Los Pegasus, she shaped the clouds into the stage and actors for grand pantomimes, tales of terror and triumph punctuated by thunderclaps of her own making.

All across Equestria, Luna was there. Her bodies were scattered as the stars in the sky, spreading frightening fun among her ponies. She would pay for such a grandiose display; deep exhaustion awaited her on the morrow and days to come. But it was Nightmare Night, her night, and on this night she would rather pluck her wings bare than not be everywhere she could.

And there was one place she always needed to be, a place found on no map. As always, since scant days after her return, Luna walked among her subjects' dreams. But the spirit of the night was not forgotten, even here. While Luna banished nightmares as she always had, tonight she stirred up more peaceful dreams as well. She wrought no new nightmares, but she did craft shocks and thrills, little tokens of the holiday for all to enjoy. These were the treats she gave back, spicy reveries and sour fantasies, each with something sweet at the core.

At that moment, in Ponyville, Appleoosa, Tallahorsey, and Seaddle, ponies wished her a happy Nightmare Night.

Luna smiled in all those places and more besides. Who was she to deny such a request? She tore apart the nightmares she'd expunged thus far and wrapped herself in the raw dreamstuff. Then she trotted through the collective unconscious, that she might tenderly terrify every pony she missed in the waking world.

Author's Notes:

And so we come to a close. That was certainly an experience. Thank you for being there with me.

The existence of a Winter Moon Celebration would logically follow from the Summer Sun Celebration. If anything, it would be easier to celebrate, since the main event would happen at sunset. But, as noted above, it's pretty clear why we don't see evidence of it in the show.
Meanwhile, I've never liked [Season] Wrap-Up as a catch-all for the seasonal transitions. Hence Spring Suspension, Summer Shutdown, and yes, Fall Finale. They all have the same rhythm as Winter Wrap-Up, so the songs can even have the same tune! (And you know there are songs.)

The interpretation of Snowdrop as a horrific innovator in the field of cryomantic combat comes courtesy of archonix, a hoopy frood. (At least, I think it does.) Frolicsome Meadlowlark and his compatriot Sunshine Smiles were named by Egophiliac, likewise hoopy.