Everybody knows the story about the golden calf, but there's something in that story that a lot of Christians don't realize because most translations get it wrong. The American Standard Version is one that gets it right.
And when the people saw that Moses delayed to come down from the mount, the people gathered themselves together unto Aaron, and said unto him, Up, make us gods, which shall go before us; for as for this Moses, the man that brought us up out of the land of Egypt, we know not what is become of him.
And Aaron said unto them, Break off the golden rings, which are in the ears of your wives, of your sons, and of your daughters, and bring them unto me.
And all the people brake off the golden rings which were in their ears, and brought them unto Aaron.
And he received it at their hand, and fashioned it with a graving tool, and made it a molten calf: and they said, These are thy gods, O Israel, which brought thee up out of the land of Egypt.
And when Aaron saw this, he built an altar before it; and Aaron made proclamation, and said, To-morrow shall be a feast to Jehovah.
And they rose up early on the morrow, and offered burnt-offerings, and brought peace-offerings; and the people sat down to eat and to drink, and rose up to play.
And Jehovah spake unto Moses, Go, get thee down; for thy people, that thou broughtest up out of the land of Egypt, have corrupted themselves:
they have turned aside quickly out of the way which I commanded them: they have made them a molten calf, and have worshipped it, and have sacrificed unto it, and said, These are thy gods, O Israel, which brought thee up out of the land of Egypt.
And Jehovah said unto Moses, I have seen this people, and, behold, it is a stiffnecked people:
now therefore let me alone, that my wrath may wax hot against them, and that I may consume them: and I will make of thee a great nation. (Ex. 32:1-10 ASV)
They weren't worshipping an idol of a false god. They were worshipping the Lord that had lead them out of Egypt. They were worshipping the right God, but in the wrong way. And what was His reaction? He was going to destroy them. God doesn't want us worshipping Him using Pagan woship practices. When we take the Pagan festivals of Saturnalia and Natalus Sol Invictus, combine them into one and give them a new name and then say we're "doing it for the Lord", then we're actually doing the same thing the Israelites did with the golden calf.