If you are in Sedona during the winter, here are 2 must-see winter festivals you must attend. Red Rock Fantasy The “Lights On Ceremony” for the 16th Annual Red Rock Fantasy takes place at 4:45 p.m. on November 16. It will last through the new year. Also, the festival will end with “Lights Out” on January 1. In addition, the festival is open each evening (weather permitting). Fridays and Saturdays from 5pm-10pm. Sunday-Thursday from 5pm-9pm. Festival Of Lights at Tlaquepaque Saturday, December 9, 2017. Another tradition involving the lighting of 6,000 luminaries. It takes place in Tlaquepaque’s courtyards and walkways.