The Narnia films. I know how deeply sexist the books are, but they have deliberately changed things. Although the Peter is still v much the big brother, the girls play key roles and Lucy is the one who does the most to save them. Susan and Lucy are both part if the battles, and even when they try to keep Lucy out of the way because she is the youngest, it is her actions that bring about victory in both of the first two movies.
And I always turn into a sobbing wreck at the end of Prince Caspian cos it's about leaving somewhere you may never come back to and it came out soon after we moved to the States
Not really Christmasy but with a bank holiday festive feel:
National Velvet - Velvet is brave and determined and sacrifices her femininity (as much as Elizabeth Taylor can!) to win.
The Railway Children - a mother bringing up her daughters and son alone. Again, brave female characters.
For younger kids, Monsters Versus Aliens is a more recent animated film where the female central character becomes a giant, loses her fiancé and dream marriage but realises she has much more fun fighting aliens.
I think Meet Me in St Louis has great female central characters albeit constrained by traditional roles. Also Little Women and the TV series of Anne of Green Gables.
I hate the depiction of women in It's a Wonderful Life.
Whilst not strictly a Christmas movie, I was wondering about Chitty Chitty Bang Bang.
Truly is a bit girly, but actually stands up against her father and is a key player in releasing the children. The king is such a big baby. There is kind of a message that the dad isn't able to really be a man without having a woman. While that pushes the whole 'you need to be married' agenda, it does show this from a different point of view - it's the man who needs a woman, rather than a lonely female needing a man.
Of course, we all know she's going to get left with doing the washing up the minute her wedding ring is on.