Nobody I know buys actual Christmassy pjs, just regular ones that would be used all year. My DCs are getting mario and dinosaur ones this year as that's what they are really into, I wouldn't get specifically festive ones as that would (IMHO) be a waste - although I think they'd be happy to wear them all year TBH. But they are at the age of growing like weeds so need at least 1 new pair a year anyway. I did buy myself and DH some pj trousers as well one year, as we both needed them at the time, but they are still going strong a few years later so we only get the kids ones now rather than needlessly adding to our own wardrobes. We are like that in general anyway, don't do clothes shopping unless something is falling apart or outgrown.
I really like doing it though. It's the one thing that has really kept santa alive for my 9yo as she is convinced the elves brought her pjs and it can only have been magic (when actually that particular year DH did it by sneaking back into the house as the rest of us got in the car, so that when we got home in the evening the pjs were waiting for us on our stairs with a trail of glitter etc), therefore santa must be real. The one year we made any effort to do anything magical, frankly, and we're still living off it 
.
New pjs was not something I grew up with (although I do know some people now who have always done it since childhood). I didn't have any family traditions really as my parents were about as festive as a cracked teapot, and I grew up hating it and resenting the fact that my friends loved their family festivities. I didn't really know what a good Christmas should be like, and both DH and I grew up with abuse etc so we were starting from scratch when we had our DCs. On a forum I used to frequent (before I discovered MN and never looked back of course 
) I read the pjs idea and thought, oh that would be nice someday (I was pregnant with DC1 then and didn't do it until DC2 was a toddler). So it wasn't a true tradition for us. But it gave us a start and now several years later we have a lot of real, true-to-us traditions that have developed naturally over time. But the new pjs rule will always have a special place in my heart. Cheesy as that may be.
It's the buying tat for the sake of it element that I don't like. Pjs, they need anyway. If there was a book or whatever it would only be something that I would've bought anyway - e.g. a couple of years ago I got the Jolly Christmas Postman which I had read constantly as a child. The Mr Bean DVD is because this year the DCs have become obsessed with Johnny English, so I thought the Christmas episode would be a great place to start. I hate the idea of getting extra stuff in just to fill a box, it's meaningless and surely wasteful. I feel the same about stockings though. My name is Cag and I am a festive snob tat hater 
. I don't put sweets in either as my 2 would just get all overexcited about them. 
Kind of want a Christmas flamingo now though. 
As long as it's got a yoyo like in Fantasia 2000.