Have a tradition for a Christmas Eve movie. We always watch the box of delights on Christmas Eve.
Have a special Christmas Eve tea (same food every year).
Have a children's Christmas shopping trip just for them - visit Santa, take part in the Christmas activity (ice skating, or whatever it is at the mall), let the children buy a new decoration, and with the children buy a new Christmas decoration.
Visit a traditional Christmas market.
Have an afternoon where your children make Christmas gifts to give out. The oldies love it, and the children enjoy it too. This year my children are making bookmarks (they'll decorate, I'll laminate!)
Have a traditional tree decoration afternoon, Family together, get out the music, the Christmas scented candle, the mulled wine or winter pimms, and then do the tree, the paper chains and all the other decorations. Makes a lovely afternoon.
My DDs love the Christmas wrapping afternoon. Again, music, candles, lights on the tree, mulled wine / winter pimms and sit down with the pile of presents, and nice things to decorate them with - bows, ribbons etc. They help, and we make the presents look beautiful until I get too drunk to care anymore.
Most importantly, we try to get the essential stuff done (Christmas shopping etc) done before December, so we are able to do something nice with the children every weekend in December, and it's not taken up with the stress of getting things ready