We do a variety of things.
As PP said, start with the obvious expensive stuff you are doing anyway so pantomine, trip to the pictures, iceskating, visiting santa, doing a santa run. Also getting the tree and decorating it is a biggy. According to DD1 the best thing about the tree is decorating it.
We do crafty stuff like paperchains, making a decoration for the tree, making a pomander (my favourite).
Baking like gingerbread, playdough (with mixed spice or almond essense, red or green food colouring and lots of glitter in it), decorating the cake, hot chocolate, popcorn.
We have a few christmas DVDs and stories, advent calenders others have given them, candle lit bath, star walk, walk in the woods.
I try and fit in some 'thinking of others' activities so we make fatboys for the birds (which DH has never eaten), get a toy for the local Christmas toy appeal, I'm thinking about getting them to help me do a shop for the local foodbank this year as well.