I've booked/planned quite a lot for Christmas this year, OP, but I've booked super early (some events as early as September) to try and ensure I don't feel like the costs hammer me. I've pretty much just booked 'cheap' local events and I am only a 2 person family. There's no way I could have booked some of the paid events as a family of 4, even though tickets have only been say £10 each. We've also been to/plan to go to some lovely free activities as well.
On the 15th November we went to our local town Christmas market and light switch on. My little girl had her picture taken with Santa, loved singing along to all the carols and generally had an amazing time. The event itself was absolutely free, though I did pay £5.00 for a Frozen balloon, £2 for her to go on the merry-go-round, £2 each for some lovely hot homemade soup from one of the stalls and £2.50 for a knitted elf decoration for our Christmas tree. So all in £13.50 and we had a fantastic time. You could go and spend nothing or go and spend a fortune. Do you have anything like this where you are?
Yesterday we went through to Ayr because the Coca Cola Christmas truck is on tour at the minute. They had carol singers, were giving out cans of coke and you got your picture taken for free. The day cost me absolutely nothing. My mum drove us there and we stopped off at a family members for a quick visit and some tea. Tour dates are here if you're interested. Just pop in your postcode and it will tell you where the nearest stops are to you. DD was mesmerised by the "magic Santa truck!"
On the 17th December my lovely little local theater are holding a big Christmas craft fair where you can go along and make all manner of things. There's tea/coffee/mince pies provided, you don't need to buy tickets and again, it's free.
On the 22nd December we're back at the theater because they're showing the Frozen movie, but it's the Sing-a-Long version. Everyone's encouraged to dress up and belt out the songs as loudly as they can. Tickets were only £5.00 each. Do you have a local theater where you stay? I had to book these tickets way back in October and they were selling fast, but double check what's on in your area. You'll likely be pleasantly surprised.
Last year I popped into Poundland and got some fab arts and crafts bits for dd and I to do at home. We had lots of fun making tree decorations and trawling through a Christmas activity/sticker book. I've been back in this year and picked up some more bits for us to do together. It might have cost me all of £3.00.
Christmas movies can be picked up for pennies in most supermarkets and Amazon. I bought Scrooged, The Polar Express and The Nativity all for under £3.00 each. That's a few nights snuggled up on the sofa with dd feeling festive sorted.
Pop into Poundland and rake the shelves for Christmas CD's. I've picked up a couple. DD and I spent Saturday night dancing about the living room and holding Christmas themed karaoke competitions, much to the amusement of any and all passerby's who did openly laugh at the state of us.
Things are what you make them. You don't need to put yourself into debt taking your children to one expensive Christmas grotto/play/musical after the other to make them happy. But I know, I know how much it can suck to feel like the pauper staring through the bakers window at times, Peppa. We seem to live in a time where we're in constant competition with each other - we always feel like we have to keep up with somebody. But the truth of the matter is, we don't. And we make ourselves miserable believing that we do. In all honesty, you will have more fun stripping away all that expensive crap and just getting back to basics with your children. Build a den, have a movie night, make homemade decorations, make and decorate Christmas cookies, etc. I promise you, that's the stuff they remember 
Chin up and have some 