Hi mates We are arriving in Delhi on the night of March 3, 2015, and plan to stay in Delhi till March 8, 2015. Most probably we will be staying somewhere in Paharganj, near New Delhi Railway Station, so we will be celebrating Holi in Delhi itself, so is it a good place to enjoy Holi or we should look for some other places like Vrindavan or Agra? We are not shy to jump in culture and would love to enjoy the festival of colors so which is the best place in your view
For Holi you really need to be at Vrindavan to get a taste of tradition and culture and you will also find loads of foreign tourists there and security arrangements are pretty good so nothing to worry about as long as you practice normal caution. Vrindavan is hardly a two and a half hour drive from Delhi and you could either take a train that would take you to Mathura from where you could take a taxi or share an auto whatever suits your budget or you could just hire a taxi from Delhi to Mathura but make sure you prebook your hotel at Vrindavan/Mathura because it gets really busy those days.
Vrindavan is where you want to be for Holi. The whole world decends upon Vrindavan on that day and as Chahal already mentioned it is best to book your hotel well in advance. Iskon temple's guest house is also a good option but I doubt you would get a vacant room during those days unless you make a booking well in advance.