Are you planning the wedding or going to the wedding?
If planning:
Have you set the date? Is it on Christmas day (is that even legal) or just around Christmas? Before or after?
What kind of venue and what kind of feel are you going for? Vintage glam? Shabby chic? Hygge and cosy? Kitsh? Or just a normal wedding with a wee nod to the season?
I'd suggest having shawls for the bmaids and yourself, maybe some of those handwarmers stocked somewhere handy to warm up. If you're planning on stopping for some outside pics for a while then you might appreciate a thermos flask with something hot in. Maybe gift the groomsmen hipflasks and a bottle of decent whiskey.
Have a pair of nice wellies for the bridal party on hand just in case. It could result in great photos or you might just all end up with nice new wellies!
Mulled wine and mince pies as welcome drinks. Are you doing favours? A pretty bauble could be a lovely idea or naff, depending on you and your guests.
If you're asking as a guest - pretty dress, warm coat, sensible shoes with the option to change into dressier ones once you're inside. Gloves. Do not use christmas wrapping paper to wrap the wedding present. Depending on whether the wedding is before or after Christmas day a 'our first Christmas as Mr & Mrs' personalised gift could be really sweet.