Yes, most shacks have firework celebrations on Christmas Eve and New Year's eve, all trying to outdo each other. Word of warning if you are flying New Year's day - watch out for the hangover!
We always go for Christmas and New Year - it gets very busy, particularly for New Year when the Indians arrive from out of town but it is a blast. One word of warning - if you want to celebrate on the beach New Year get there early - the traffic is wall to wall with taxis - I had to get out of Calungute near the beach road one year because I couldn't breath - we weren't heading for the beach there but husband thought we could kill some time late afternoon shopping before heading to Candolim beach - big mistake.
In Candolim some of the resturants close for New Year evening - not sure about Calungute/Baga. All the action is down the beach - enjoy.
Candybabe