A few that I can think of:
An ornament every year - name and date on back. Also, I love buying ornament while on vacation.
I have many small framed ornaments on the tree of different family members, sitting with "Santa" or in a holiday setting. I even have a few old old black-n-whites of my sister's and I around the Christmas tree, when we were kids. I have had many comments on my pictures on the tree as they are so fun to look at.
We play the "present, name game" with the extended family. (sometimes called "The white elephant game", or the "name game".. if you want to know more of what it is.. just personal message me.) Usually we have about 20 people who play.
In my immediate family, we play "Secret Santa" throughout the Advent season. Every Sunday, at dinner, we have to pick one name, keep it to ourselves, and, secretly, be nice to that person all week, even leaving pre-printed 'Secret Santa was here" notes (I have an envelope on the fridge, full of these little slips of paper, so that anyone can take them). From making someone's bed to leaving candy or coins, it's fun to see the creative "kindnesses" that pop up. The next week, we guess who it was - it's great fun to see who was fooled.
My refrigerator becomes emblazoned with old "Christmas photos".
Sunday night during the holidays, is usually appetizer/fireplace night or holiday movie night as a family. Last year, my husband even bought me a new "old" movie that he searched for, for me, and made the kids watch it. And... now.. it's going to be tradition to watch it this year.
My daughter and I spend one or two evenings, baking dozens of cookies.
And, like the rest of the year, we enjoy celebrating the season by regularly going to Church. I can't imagine living in the season without it.