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The Virgin Tour was the only tour that placed Holiday in the beginning of the show. It was the second song in the setlist. Still wearing the colourful jacket, Madonna does a light-hearted choreography with her two dancers to a version similar to the one on the album. She even takes a break during the performance to talk to the audience.

On the other tours it was always among the closing numbers. Same thing for the Who's That Girl Tour where Madonna ends the song twice, then continues for more. Finally, she asks the audience for a comb to fix her messy hair, so she can finish the song. This version was much more rock sounding featuring a lot of guitar. As it was performed after then-current megahit Who's That Girl, Madonna cemented the tradition of ending her shows with a combination of songs from both ends of her career.

On the Blond Ambition Tour, Holiday turns into a pyjama party, with Madonna in white pants and polkadot blouse and all the dancers in pyjamas dancing around on stage. The crowd goes wild, partying along, and Madonna asks to "do the bus stop". The performance is so energetic that it's used on music channels for the re-release of Holiday.

Holiday receives a very alternative remake for the Girlie Show. Dressed in long navy coats and with a large American flag in the background, Madonna and her dancers perform a military version of the song. The strict percussion soon has to give in to the dance tones. It gets total fun when they turn it into a jam, mixing in a military cadence. Madonna pauses the song for a military drill with the dancers and the audience. At the end of the song - which is also the end of the show, before the encores - they all start goofing around, jamming in a rain of confetti strings. As Madonna refuses to leave the stage in a kind of James Brown imitation, Niki & Donna end up chasing her and carrying her off stage.

The Drowned World Tour hardly featured any of Madonna's 80s classics, but what would a Madonna tour be without Holiday! Wearing a black shirt with 'mother' in front and 'f*ckers' on the back, and a white fur coat on top, Madonna chooses this 18-year old dance song to end her show. She, Niki and Donna rock on stage and the crowd goes hysteric. This ghetto-pimp version uses samples of Stardust's 'Music Sounds Better With You' (inspired by an unofficial mash-up of the songs).