I'm not sure that saying there are comedy shows on all night long really covers it. There are channels on British TV which always show comedy shows all night. The point of Comic Relief is that it is like a really long comedy concert. Lots of comedians do individual stand-up routines, then there are comedy sketches which involve lots of comedians who might not work together very often. There are also very unusual comedy sketches - for example, a few years ago Tony Blair, who was Prime Minister at the time, took part in a version of a very famous comedy sketch of the time. The show usually lasts about 10 hours and the comedy is interspersed with short films showing the people who will be helped by the money which is raised on the night. I think I am right in saying that Comic Relief/Red Nose Day only happens every two years so that people do not feel that they are being asked to donate to charity too often!
During the day and evening of Red Nose Day lots of events take place all over the country. Schools have events where the children come to school in normal clothes instead of uniform, company executives sit in baths full of baked beans, it is hard to explain just how many random and bizarre things are done for charity.
Regardless of all the above information, it's still not considered to be a holiday of any description!