In medium format, I've only ever used black and white film. It's easy enough to develop at home, and pretty cheap. The machines they use at Wal-Mart can usually handle medium format, but good luck getting anyone to do it for you

. If you don't want to develop your own colour film, I suggest you find a local 'pro' lab that will do it for you. Do black and white yourself, it will be much cheaper.
You can modify the Holga to shoot 35mm with some rubber bands, tape, etc. The 35mm cassette needs to be fixed with foam or whatever you can find so it doesn't move around. On the take-up side, wrap rubber bands around the spool to create a channel for the film to follow, and tape the leader to it. The red viewing window needs to be taped shut or the film will be fogged to death. You'll need to count how many turns it takes to advance a frame.
Regular Holga tape-up procedure is a good idea. You can create a mask for the viewfinder to show you the crop you'll end up with, but I find it much easier to just estimate (it's not exactly the most accurate viewfinder to begin with). When you're finished shooting a roll, open the camera in a changing bag or darkroom and manually rewind the film back into the cassette. Drop it off at your regular lab, it won't be a problem. You'll end up with panoramic photos that extend over the sprocket holes on the film. You can crop this or leave it on for effect. You probably won't be able to find a lab that will print them for you uncropped, but you can try.
There are more serious modifications like creating a 35mm pressure plate, permanently modifying a Holga for 35mm, etc. I have a feeling 35mm would work better with the 645 mask in place, but I've never tried.