Q:

Naming 1, 2, 3, ... millennial celebrations

I know that after 100 years there are centennial celebrations, after 200 years bicentennial, tricentennial, etc.,
Similarly, are there terms for 2000, 3000, etc., years of celebration?

A:

Sure. Picking up where you left off, we have: 

250 years - Sestercentennial
300 years - Tercentennial
400 years - Quadricentennial
500 years - Quincentennial        
600 years - Sexcentennial     
700 years - Septcentennial
800 years - Octocentennial        
900 years - Nonacentennial        
1000 years - Millennial       
2000 years  - Bimillennial

Anything beyond bimillenial is probably very uncommon at best, but you could likely follow the above naming convention and be understood. See more odd usages here.

A:

Yes, there are, and they follow the same naming convention:
bimillennial, trimillennial, etc.

