I only have one real Christmas tradition, and that is watching Mystery Science Theater 3000 episode 521, "Santa Claus." It's not just one of the best episodes in the series; it might be the best episode of any series (this thing will be full of unnecessary hyperbole). I originally recorded the rerun on Mother's Day weekend 1996, the last year Comedy Central ran the show. Don't ask me how I remember these details; all i know is that for the last 14 years I've faithfully watched this episode around Christmastime.
You should also watch it. Santa Claus is on DVD, Netflix Instant Watch, and here:
I think Santa Claus Conquers the Martians is the more popular of the two MST3K Christmas episodes, but that's mainly because the movie has a weird Baby Boomer cult thing going for it. But Martians is dull and plodding and grating, even if it still makes for a funny episode. (Cinematic Titanic revisited it 16 years later and improved things a little.)
Santa Claus involves the titular hero fighting the devil on Christmas Eve for the fate of children's souls, and it's mostly carried by this premise alone and its inherent creepiness. And just like in Martians, Santa Claus himself is insane and bipolar and terrible at his job. Then it gets weird. Just watch it so I have something to talk to someone about.