I do free printable colouring sheets (and now activity sheets as DD is older) from the net for some days.
Other activities include:
Make a paper chain for the hall/your bedroom
Make a Christmas Card each for your Grandparents
Do a tidy out of the toys with Mum, to throw out broken things and make space for any presents you are lucky enough to get
Make a pomander (I put holes in the orange with a skewer and let her have a bowl of cloves to stick in)
Make Christmas cookies together
Have a Christmas picnic - watching a dvd in the sitting room with a carpet picnic (popcorn, hot choc and curled up under a duvet)
Go see Santa
Go to do your Christmas shopping and see the "Live Crib"
Make potato print wrapping paper
Make/assemble and decorate a ginger bread house (Ikea do great kits - its more about making a great mess and eating sweets in our house than creating art!)
Buy the tree
Decorate the tree
Visit Auntie X to deliver presents
Go for a walk in the woods to see the birds and animals and trees in winter (and collect pine cones/holly etc for decorating/crafting)
Make some crackers using a kit/toilet rolls
Learn a new Christmas song or joke
Go for a walk with a torch/drive in the car to see the Christmas lights nearby (pick a route in advance to get the well-decorated houses locally)
Make a bookmark (Santa always brings a book in our house)
Make paper snowflakes
Tidy your room/make your bed yourself (or help Mum)
Write to Santa
Help with the housework day
Wrap up all your presents (from the child - Dad may need to take 5 minutes to be involved in wrapping yours!)
A couple of days, I would do a treasure hunt around the house for a small present - DD loves chasing around hunting for it!
I don't do ALL of those every year, but I keep a list of ideas so that I can have a few things to pick between on different days, to suit the weather and whatever else is going on. Some are pure fun and Christmas magic, some are more prosaic but part of getting ready for Christmas and DD was always happy to do them in that context.