In Megillat Taanit is says that tomorrow (7th Kislev) is a holiday, because it is the day that King Herod died. Here is the Hebrew text (from Daat):

Which translates as:
On the seventh of Kislev is a festival, the day that Herod died, because Herod hated the Sage. There is happiness before G-d when the wicked pass from this world, as the verse states, “Also the hand of G-d was upon them to destroy them…” and it states, “when all the people from the battle had died from the midst of their people”, and then it says “And G-d spoke to me saying…”. It also states, “This is a good man, and he should have good tidings”, and it says “The king (David) commanded Beniyahu ben Yehoyada and he attacked him and killed him…”
The day that Herod died was made into a festival.

The truth is that according to Wikipedia, Herod died in March or April:

The scholarly consensus, based on Josephus’ Antiquities of the Jews is that Herod died at the end of March, or early April, 4 BC. Josephus wrote that Herod died 37 years after being named as King by the Romans, and 34 years after the death of Antigonus.[10] This would imply that he died in 4 BC. This is confirmed by the fact that his three sons, between whom his kingdom was divided, dated their rule from 4 BC. For instance, he states that Herod Philip I’s death took place, after a 37-year reign, in the 20th year of Tiberius, which would imply that he took over on Herod’s death in 4 BC.[11] In addition, Josephus wrote that Herod died after a lunar eclipse,[12] and a partial eclipse[13] took place in 4 BC.

Because of apparent inconsistencies in the method Josephus counted years, it has sometimes been suggested that 5 BC might be a more likely date[14] – there were two total eclipses in that year.[15][16]. The next lunar eclipse did not take place until 1 BC, however, and Herod’s sons had already been ruling for three years by then.

Josephus wrote that Herod’s final illness was excruciating (Ant. 17.6.5). From Josephus’ descriptions, some medical experts propose that Herod had chronic kidney disease complicated by Fournier’s gangrene.[17] Modern scholars agree he suffered throughout his lifetime from depression and paranoia. (http://www.haaretz.com/hasen/spages/876330.htm

This is what Josephus (Antiquities) writes about Herod’s last days and his death:

CHAPTER 7.

HEROD HAS THOUGHTS OF KILLING HIMSELF WITH HIS OWN HAND; AND A LITTLE AFTERWARDS HE ORDERS ANTIPATER TO BE SLAIN.

1. AS he was giving these commands to his relations, there came letters from his ambassadors, who had been sent to Rome unto Caesar, which, when they were read, their purport was this: That Acme was slain by Caesar, out of his indignation at what hand, she had in Antipater’s wicked practices; and that as to Antipater himself, Caesar left it to Herod to act as became a father and a king, and either to banish him, or to take away his life, which he pleased. When Herod heard this, he was some-what better, out of the pleasure he had from the contents of the letters, and was elevated at the death of Acme, and at the power that was given him over his son; but as his pains were become very great, he was now ready to faint for want of somewhat to eat; so he called for an apple and a knife; for it was his custom formerly to pare the apple himself, and soon afterwards to cut it, and eat it. When he had got the knife, he looked about, and had a mind to stab himself with it; and he had done it, had not his first cousin, Achiabus, prevented him, and held his hand, and cried out loudly. Whereupon a woeful lamentation echoed through the palace, and a great tumult was made, as if the king were dead. Upon which Antipater, who verily believed his father was deceased, grew bold in his discourse, as hoping to be immediately and entirely released from his bonds, and to take the kingdom into his hands without any more ado; so he discoursed with the jailer about letting him go, and in that case promised him great things, both now and hereafter, as if that were the only thing now in question. But the jailer did not only refuse to do what Antipater would have him, but informed the king of his intentions, and how many solicitations he had had from him [of that nature]. Hereupon Herod, who had formerly no affection nor good-will towards his son to restrain him, when he heard what the jailer said, he cried out, and beat his head, although he was at death’s door, and raised himself upon his elbow, and sent for some of his guards, and commanded them to kill Antipater without tiny further delay, and to do it presently, and to bury him in an ignoble manner at Hyrcania.

CHAPTER 8.

CONCERNING HEROD’S DEATH, AND TESTAMENT, AND BURIAL.

1. AND now Herod altered his testament upon the alteration of his mind; for he appointed Antipas, to whom he had before left the kingdom, to be tetrarch of Galilee and Perea, and granted the kingdom to Archclaus. He also gave Gaulonitis, and Trachonitis, and Paneas to Philip, who was his son, but own brother to Archclaus (10) by the name of a tetrarchy; and bequeathed Jarnnia, and Ashdod, and Phasaelis to Salome his sister, with five hundred thousand [drachmae] of silver that was coined. He also made provision for all the rest of his kindred, by giving them sums of money and annual revenues, and so left them all in a wealthy condition. He bequeathed also to Caesar ten millions [of drachmae] of coined money, besides both vessels of gold and silver, and garments exceeding costly, to Julia, Caesar’s wife; and to certain others, five millions. When he had done these things, he died, the fifth day after he had caused Antipater to be slain; having reigned, since he had procured Antigonus to be slain, thirty-four years; but since he had been declared king by the Romans, thirty-seven. (11) A man he was of great barbarity towards all men equally, and a slave to his passion; but above the consideration of what was right; yet was he favored by fortune as much as any man ever was, for from a private man he became a king; and though he were encompassed with ten thousand dangers, he got clear of them all, and continued his life till a very old age. But then, as to the affairs of his family and children, in which indeed, according to his own opinion, he was also very fortunate, because he was able to conquer his enemies, yet, in my opinion, he was herein very unfortunate.

2. But then Salome and Alexas, before the king’s death was made known, dismissed those that were shut up in the hippodrome, and told them that the king ordered them to go away to their own lands, and take care of their own affairs, which was esteemed by the nation a great benefit. And now the king’s death was made public, when Salome and Alexas gathered the soldiery together in the amphitheater at Jericho; and the first thing they did was, they read Herod’s letter, written to the soldiery, thanking them for their fidelity and good-will to him, and exhorting them to afford his son Archelaus, whom he had appointed for their king, like fidelity and good-will. After which Ptolemy, who had the king’s seal intrusted to him, read the king’s testament, which was to be of force no otherwise than as it should stand when Caesar had inspected it; so there was presently an acclamation made to Archelaus, as king; and the soldiers came by bands, and their commanders with them, and promised the same good-will to him, and readiness to serve him, which they had exhibited to Herod; and they prayed God to be assistant to him.

3. After this was over, they prepared for his funeral, it being Archelaus’s care that the procession to his father’s sepulcher should be very sumptuous. Accordingly, he brought out all his ornaments to adorn the pomp of the funeral. The body was carried upon a golden bier, embroidered with very precious stones of great variety, and it was covered over with purple, as well as the body itself; he had a diadem upon his head, and above it a crown of gold: he also had a scepter in his right hand. About the bier were his sons and his numerous relations; next to these was the soldiery, distinguished according to their several countries and denominations; and they were put into the following order: First of all went his guards, then the band of Thracians, and after them the Germans; and next the band of Galatians, every one in their habiliments of war; and behind these marched the whole army in the same manner as they used to go out to war, and as they used to be put in array by their muster-masters and centurions; these were followed by five hundred of his domestics carrying spices. So they went eight furlongs (12) to Herodium; for there by his own command he was to be buried. And thus did Herod end his life.

4. Now Archelaus paid him so much respect, as to continue his mourning till the seventh day; for so many days are appointed for it by the law of our fathers. And when he had given a treat to the multitude, and left off his motoring, he went up into the temple; he had also acclamations and praises given him, which way soever he went, every one striving with the rest who should appear to use the loudest acclamations. So he ascended a high elevation made for him, and took his seat, in a throne made of gold, and spake kindly to the multitude, and declared with what joy he received their acclamations, and the marks of the good-will they showed to him; and returned them thanks that they did not remember the injuries his father had done them to his disadvantage; and promised them he would endeavor not to be behindhand with them in rewarding their alacrity in his service, after a suitable manner; but that he should abstain at present from the name of king, and that he should have the honor of that dignity, if Caesar should confirm and settle that testament which his father had made; and that it was on this account, that when the army would have put the diadem on him at Jericho, he would not accept of that honor, which is usually so much desired, because it was not yet evident that he who was to be principally concerned in bestowing it would give it him; although, by his acceptance of the government, he should not want the ability of rewarding their kindness to him and that it should be his endeavor, as to all things wherein they were concerned, to prove in every respect better than his father. Whereupon the multitude, as it is usual with them, supposed that the first days of those that enter upon such governments declare the intentions of those that accept them; and so by how much Archelaus spake the more gently and civilly to them, by so much did they more highly commend him, and made application to him for the grant of what they desired. Some made a clamor that he would ease them of some of their annual payments; but others desired him to release those that were put into prison by Herod, who were many, and had been put there at several times; others of them required that he would take away those taxes which had been severely laid upon what was publicly sold and bought. So Archelaus contradicted them in nothing, since he pretended to do all things so as to get the good-will of the multitude to him, as looking upon that good-will to be a great step towards his preservation of the government. Hereupon he went and offered sacrifice to God, and then betook himself to feast with his friends.