We have a few.
We bring out the Advent Calendar that DMum made for DD on 1st Dec. It has little pockets sewn on, so I put a choc figure (buy a couple of nets of these from Aldi, or M&S) in each day. And either a free seasonal colouring picture or puzzle printed from the net, or a note about today's activity (clean your room, shopping with Mummy and having hot choc after the Live Crib, Santa visit etc), or a small gift (or maybe, now she's a good reader, a clue for a treasure hunt around the house for that small gift). She gets maybe 3-4 gifts, like a Lego figure, or equally small sized, and often re-used stocking things from last year, throughout the 24 days. Christmas Eve will be a larger chocolate figure than the rest. Some years, I get a shop one with chocs in it already and just do activities in DM's one, last year I got one with seasonal pictures behind the doors which DD actually liked a lot (from local Bible Society shop).
This year, DD will also get a fleece blanket for snuggling up in on 1st December - she helped buy the printed panel in Canada and I have to hem it yet. But she snuggles up under massive fleeces all the time, so this will be nice, and small enough, for about 6 weeks use!! (Rather than having to struggle everyday to fold up something that could easily cover a superking bed and drape down the sides - I must get a smaller fleece for everyday in the sitting room).
We write a letter to Santa at some stage. If we are early enough, we post it. If not, it gets left beside stocking on Christmas Eve.
We start reading Christmas stories at bedtime from 1st December also. I have a decent collection of Christmas books, including one which is the daily adventures (in French) of the mouse family from 1-24th December as they prepare - DD wants me to read that day's page in French and then English before a "proper" story most nights.
Christmas Eve's story is always "Twas the night before Christmas". That doesn't get read earlier in December (might be repeated again before the end of Christmas, but not before). We also have a Moshi Monsters version ("Twas the night before Twistmas") and a Mr Men version that are in the earlier Dec pile.
I also allow the Christmassy dvds out from maybe the last week of November. DD watches "Home Alone" all year round (saved on the equivalent of the Sky+ box) but I have about 10 or more dvds that I put away most of the year (Polar Express, Miracle on 34th Street, Muppets, all 4 The Santa Clauses, etc).
I always bring DD for an afternoon in the city centre in mid to late December, for her "Christmas shopping". We should have most of hers done by then (for various aunts and uncles, GPs etc), or made (she usually makes something for her DCousins). But we might have to get something for DH (and he usually leaves it to Christmas Eve to get for me with her). I try to only have 1 thing we want to buy that day though, and I am not buying at all. It's about seeing the lights as it gets dark, going to see the Live Crib outside the Lord Mayor's house (various farm animals, raises money for a children's charity, organized by the Farmer's Association) and get a hot chocolate and mince pie/cookie together to watch people scurrying around.
I like to try and get to some musical performance during the season. A carol service in a church, or a concert somewhere. This year, we are going to "Carols by Candlelight" in the National Concert Hall on 23rd Dec, at night. We'll have dinner in town that late afternoon, and DD is old enough to stay up late for that now. We've been to see "The Snowman" with the music played by a live orchestra, and various other shows, in the past.
If we are staying at home for Christmas itself, (slightly more than half the time), I have to go to work (if a weekday) on Christmas Eve for a couple of hours, in the city centre. So we all go in early, grab a parking space, DD comes with me while DH gets a nice coffee, and we meet up mid-morning once I escape the office. We pop into M&S (usually the first rush is gone so it's not mad and we get DD's birthday cake, some nice nibbly things and anything else we need). We get a naice lunch somewhere before going home.
(If we are travelling to family, we tend to go a day or 2 before Christmas and stay on for a couple of days afterwards).
In the afternoon, DD and I make cookies for Santa. If we are calm and have loads of time, we do it from scratch. But if there is any stress around, I grab the half a roll of dough from the freezer (that I put in there in early December, from another baking session) and just slice and bake that. (DD is also getting better, at almost 9, at helping prep the veggies etc for the following day, or fill coal buckets, or send her off to hoover upstairs, as I tend to do a lot of preps on 24th and hovering keeps her out of my way for a half hour!!). We track Santa periodically throughout the afternoon once we get home from town until bedtime.
After dinner, we go into the sitting room to light the Christmas candle. We take some time to reflect on the year that is ending, the good and bad things about it, remember family and friends who have died or are ill, and new babies or weddings during the year, and talk about our hopes for the year to come, and remember the reason for Christmas. We follow that with a "Hail Mary" (my family used to do a decade of the rosary - but we are not that religious).
Then we get out the Christmas Box - it holds decorations most of the year, but on Christmas Eve holds new PJs for all 3 of us, bath bombs for DD and I, DD's stocking, "Twas the night before Christmas" book, and naice hot choc mixes for us all. Then DD puts out her stocking, milk, a carrot and the cookies. And runs upstairs to have her Christmassy bath and put on new PJs, before having her hot choc and getting a story in bed.
And our other own family tradition is to have a birthday party on Boxing Day, as DD arrived at 6am that morning!!