Village hall Christmas fayre and the occasional look at Fenwick's window if we happen to be there and there isn't a crowd here and yet my children have managed to get to teens without feeling like they are missing out.
We have been to Lapland twice but not for anything Christmas related. Full disclosure there!
We have never been to Disney and thankfully none of them want to. We have never been to centre parks or similar.
We did once go on one of those steam train polar express things when they were very little. It was expensive, it was cold, it was a very short train trip then lots of queues, they didn't care, and the father Christmas was no better than the village hall so never bothered ever again.
What your children will remember is fun with YOU. Snuggling down at home, having a laugh, playing games, watching home alone and repeats of the various animations that have been done of the snowman and the Julia Donaldson ones. They will enjoy going for a walk around the town centre after dark to see the lights and coming home for a hot chocolate or maybe having a hot chocolate out for a treat. They will enjoy racing out with the sledge when it shows and the feeling of getting changed in to dry clothes afterwards and having a hot drink and breaking out a board game. They will enjoy the traditions you make. The excitement of advent calendars and the house gradually getting festive as cards get given and put on the shelves, the stuff they make at school coming home and being displayed. They will start to associate certain foods and baking with Christmas and before you know it, it has turned in to a tradition and you all look forward to making it because it means Christmas has started.
Don't think you need to keep up with all the social media crap and marketing about special Christmas experiences. Most of them are a bit crap and chances are your kids with bicker, have an overwhelmed tantrum or need a wee at a crucial point.