Because I am lazy (well, have to get some actual work done this morning so prioritizing answering rather than reading suggestions - looking forward to the train journey home though! )I am answering first so apologies for any duplication with others.
If the weather is decent any days, take the opportunity to go out for a wintery walk in the woods, along the beach, in the park etc - see nature in the winter, and if possible, pick up some pine cones, interesting branches, dead leaves, shells etc to use in craft sessions on not so nice days.
Look on pinterest and other crafty blogs for ideas for crafts with DCs. Activity Village and DLTK are also good for this.
Activity Village and DLTK websites, and lots of others, have festive sections with free printable colouring sheets, activity sheets (mazes, word searches, join the dots, writing and maths sheets, but all fun) that are handy if you have access to a printer. If you don't have access to a printer, it may give you ideas for similar sheets to make up yourself on blank paper.
If you can get plain white paper, use it to cut snowflakes or angels to stick on windows or walls of DC bedrooms or ceilings.
If you have a few sheets of coloured paper, or colourful magazine pages, cut them into strips and let the DCs make paper chains to hang from ceilings. THat's also a craft that can be picked up and put down, over a few weeks, whenever there are a few minutes of activity needed.
Some websites have Christmas stories and libraries often have loads of Christmassy books to borrow too. Sometimes libraries also have DVDs that you can borrow as well.
On nicer days, get outdoors and make bubbles (could use washup liquid and a small amount of water rather than bought bubble mix). On wetter days, get the waterproofs and wellies on and go splash in puddles and listen to the rain and see what animals do on wet days. Then go in home, get dried off, and have a hot chocolate together.
Carpet picnic, with a drink, some small treat, and watching a Christmas movie on tv or DVD is a great fun thing with small DCs. Put down some kind of rug, a duvet, or all the cushions to sit on the floor.
Take out the board games and have a games day/night with the whole family.
Check out the local neighbourhood for houses that are well decorated, and plan a nice route. Then, one evening when it is dark, (some people suggest getting DCs into PJs and taking them out when it would be bedtime - depends on how magical you want it to be), put the DCs into the car, take some hot choc in a flask (optional!) and go look at the various houses with some Christmas music playing on the radio.
Christmas music in the house is a great way to make it seasonal - on the radio, streamed from a service like Spotify or ipod lists, or CDs etc. Netflix, or free movie channels etc, can have various options for seasonal offerings.
I have seen a suggestion before (that DD was too old for when I saw it) of filling a large cardboard box with blown up balloons and wrapping that- as a cheap but large present that young DCs often love.
Festive baking - whether actual seasonal recipes or even just cookies, brownies, "ordinary" cakes etc are great to get DCs involved in. And especially if you split it into different sessions - so bake one day and next day ice some cookies or a Gingerbread house (or make mini-gingerbread houses out of biscuits with icing "cement" and sweets to decorate).
Lots of Santa "experiences" are expensive, but there are places where Santa is free or very cheap, and there are lots of other free or cheap events like choral services in churches, choirs singing in shopping centres or city centres, cheaper lunchtime concerts in big halls - just have a look at the various information sources locally to find these. Your local library can often know about these as well as having books and dvds to borrow!
Overall, enjoy!!