Go for walks to collect pine cones, ivy etc and make your own decorations. Places selling Christmas trees will often let you have the branch offcuts for free.
Go and look at Christmas displays in shops, or streets with lots of outdoor decorations.
Churches usually have lots of free stuff going on: carols, Christine's, crib service etc.
Bake Christmas biscuits together and let them go wild with icing.
Making salt dough decorations.
Get some Christmas/ winter themed books from the library.
You dont need to buy the official elf on the shelf. I got a much more tasteful elf for half the price of the official one. And I have a friend whose family have a teeny elf who visits over advent but who just leaves notes.
Make paper chains and/or cut out snowflakes to decorate with.
Teach them some Christmas carols. You could even get people together to go carol singing.
Make cards together - one year I made loads of cards by making a potato print stamp of a Christmas tree, and getting the kids to stamp the trees and then decorate them with glitter and stick on stars.
You could do Christmas good deeds - things like picking up litter in the park, or making biscuits for a neighbour or taking stuff they've outgrown to a charity shop.
Watch the Cbeebies panto and find other good Christmas television.
Google or look on Pinterest for children's Christmas craft ideas.