We did a mix of things over the years. When DD was small, we mostly did cheap (or even free) activities - a visit to Santa in a department store and McDonalds for lunch, staying up late to watch the Late Late Toy Show (iconic Irish TV programme), a switching on of the lights ceremony in our town where the kids were encouraged to dress up in Christmas clothes and sing carols etc. One year I signed her up for a free Christmas puppet making workshop in a library - she made a very cool reindeer puppet.
When she joined clubs (Scouts and a dance class), things got a bit busier and she often had a Christmas party or disco in Scouts and maybe a Christmas performance and party in the dance class. There was usually a Christmas jumper day in school.
When DD got older again (maybe 8 - 11), we got a bit more adventurous and did some of the Santa trail/grotto type things. We just did one each year though. And one year her grandparents brought her to a reindeer farm/train experience with her cousins. Another year I brought her ice skating. I have to confess, I mostly found out about these things through social media. But I didn't book tickets out of FOMO - I just thought they sounded like fun things to do. And it can be hard entertaining an only child at times. Because DD is an only child, I only ever had to pay for one. I might have thought twice if I'd had to pay for four/five kids.
I don't think we ever went to the panto because I was never really into the panto myself. Christmas concerts are probably a bit boring for kids unless it's a child friendly performance and/or the kids are participating.
We had a lot of fun over the years but I'm not sure if DD even remembers all of the things we did. I suspect if I asked her, she'd tell me that the best things were the Late Late Toy Show on TV and the afternoon she spent painting some Christmas decorations with her cousins (the decorations were paid for by my sister). Those same decorations still go on our tree every year but we hide them at the back of the tree because they're so gammy
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Whatever activities you do, make the most of it because those little kids grow up awfully quick and you find yourself missing all the excitement.