I need to exclude the some holidays (ie Christmas and some additional days) form the standard calendar. Is it possible?

Yes you can. 

1. go to the "Calendar"

2. double click on the calendar name

3, select the date (i.e. 25 Dec is Christmas)

4. click "Clear" next to "Working time" 

repeat step 3 & 4 for all the dates you want to mark as public holiday, click "Save"

I've created new calendars for each individual in the team, to take into account holidays and also external events such as conferences. How do I select multiple days in a month and apply a working time?

Thanks, Kartika, this was a great help. :-)