Annual celebration when one has to set fire to various things (5,5)
I believe the answer is:
burns night
'annual celebration' is the definition.
(annual celebration of Robert Burns)
'to set fire to various things' is the wordplay.
'to set fire to' becomes 'burn' (I've seen this in another clue).
'various' indicates an anagram.
'things' anagrammed gives 'snight'.
'burn'+'snight'='BURNS NIGHT'
'when one has' acts as a link.
(Other definitions for burns night that I've seen before include "January celebration in Scotland" , "tribute to poet" , "winter evening" , "January 25 for Scots" .)