Note that I'm asking about the day itself, not the season surrounding. So you'll need to balance your ability to be off work, what's open, the atmosphere at your chosen park and, not least of all, how crowded the park will be.
FWIW, I didn't put Halloween on the list because (a) it isn't technically a holiday and (b) c'mon, it'd win in a walk.
Defend your pick in the comments. Previous votes of the week
Now, obviously, I live in SoCal, where the parks remain open throughout the year, so these days aren't options for everyone (without travel). But I like the three-day weekend holidays during the school year because you don't have nearly as many out-of-market tourists as during summer, Thanksgiving and the Christmas holidays.
Veterans Day (in November) is the best, I think, because its proximity to Thanksgiving -- and Christmas shopping (when people are eyeing other things on which to spend money) -- keeps the crowds relatively small.
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My favorite time to visit any zoo, oceanarium, or (rarely) theme park is as far off-season as I can get without running into winter weather.
Happy travels.