The highlight is the barbecue in the streets of Palma, followed by a night of concerts. This event is always held on the 19th of January, the eve of Sant Sebastià, the patron saint's day. The evening starts with a parade of giant figures (gigantes and "capgrossos") from Plaza Cort to Plaza Major. Here you can also admire the traditional dances. A little later the giant dragon (Drac Na Coca) appears together with the drummers and a big fire is lit on the Plaza Major.
All over Palma, barbecue areas are set up in the middle of the streets. Everybody can prepare their own barbecue here. Afterwards the concerts start. Music groups of all styles play in various squares in the centre.
On 26 January the "Correfoc" takes place. This "fire run" is a parade of the "Dimonis" (demons), where hundreds of fireworks are ignited. It can get very loud. This act ends the San Sebastian celebrations.
If you want to experience a typical Mallorcan folk festival in the middle of winter, you should definitely mingle with the people here. The city will be very crowded and you should plan for enough time. You can find the complete programme here: https://www.palma.cat/portal/PALMA/RecursosWeb/DOCUMENTOS/1/0_113724_1.pdf