Every year, on christmas eve eve (yes, the night before christmas eve), the women of my family get together and make sugar cookies. We just spend a whole day making christmas theme shaped cookies. Fir trees, Santa, reindeer, candles, crosses, etc. Ironically, none of us are even "Christian". The closest is my mother, who is spiritualist.
Also, we always have shrimp. I know, strange thing to have in the middle of winter, but it's always been one of my favorite foods, and since my birthday is on christmas, my family makes sure we always have shrimp.