It would always amaze my father, who having come from Europe, where holidays would almost exclusively be of battles won by the country celebrating (I can't actually think of any examples - Dr. Clam could elaborate on specific countries). ANZAC day, in particular to start with - celebrating the start of a hopeless battle that we ended up losing. On top of that, it wasn't even our war. In some respects it wasn't even the mother country's war. "Lions led by Donkeys" would be an apt description, where the soldiers were skilled and well armed, but the leadership was absolutely woeful. I find it ironic that in a sense, Turkey celebrates the same battle, and it has ended up being a point of cohesion between Aus and Turkey every Anzac day, rather than a source of bitterness or enmity. Contrast this to St. Patricks day or myriad other days of celebration in Europe. It is always where one's country kicked the butt of another. It follows that we also remember the fall of Singapore, the Burma railway. Even the Kokoda trail is described as a "fighting retreat" so we are quite clear that it isn't a victory. Not to mention Vietnam - Australia also remembers that for its losses.
This, I believe, is one of Australia's great strengths. How demoralising is it for potentially enemy countries or groups, that we gain strength from battles which we have lost. After over 100 years in which Australians tried to forget our convict heritage - we have been gaining cohesion from being involved in other people's wars, at times fighting heroically losing battles.