Love this question because I love talking holidays! Gets me excited! A lot of things have changed from when I was growing up (the monster Thanksgiving party at an aunt's house, or the big Christmas party at Grandma's---due to age, geography, and a lot of people have passed away and all). SO we've had to do our own family traditions too, but they're special to us!
Our "holiday season" starts on Thanksgiving day. After a great time outdoors (weather permitting), watching the Cowboys play football, some family games, we have a wonderful (not necessarily huge, but awesome) dinner. At dinner we talk about things we're thankful for, and make sure to pray and give thanks. At some point after dinner, we discuss our options (which are a topic during the month of November) for what special project we'll be taking on, what we'll be sponsoring---either a missionary friend, a special event through Compassion International, or local opportunities here. If we're going to choose another country, we build a care package for them of things they may miss (even toilet paper if it's a friend of mine, because that's a joke between all of us, peanut butter, some treats that are hard to come by, some things that let them know we're thinking about them, whatever we can think of, ETC). If it's a group that will take clothes, shoes, toys, candy, etc, then we will do that for children. But we lay our plans out. If it's a foreign country we also do a little research during the next month and find out some celebratory foods and customs they may have and will do that on Christmas day.
On Thanksgiving we MAKE a gift, card, or write a letter to say how thankful we are for our loved ones.
I go to bed early for a "night nap" on Thanksgiving so I can do Black Friday shopping!
We begin decorating and setting up for Christmas the day after Thanksgiving.
We always hit a parade, watch old Christmas movies together a little at a time (one a week), take the annual family photo, take the kids to get pictures with Santa, go to the local special events be it the tree lighting, a church or school play (our neighbor's kids, lol), concerts, a ballet, or a real play. We do volunteer on AT LEAST one local project. We give the gift of a date to our friends (babysitting their children one night) and then they let us have a date by babysitting our children one night. We love to make Ghiradelli hot cocoa with a shot of peppermint schnapps and a shot of Godiva liqueur and cuddle up outside. Sometimes the crisp cold air seems to make great star gazing so we'll do that. We must go look at Christmas lights. We display cards that we receive. On the days coming up, we do read Christmas themed books we've received from previous years. We have some great ones: a beautiful, beautiful Night Before Christmas with all kinds of need things in the book to pull on or play with, The Cajun Night Before Christmas, The Homeless Christmas Tree, The Polar Express, Room for a Little One, Legend of the Christmas Stocking, The Grinch, etc.
On Christmas Eve, we have a family party that will more celebratory, expected Christmas feast kind of stuff (not really the same stuff every Christmas though---the feast is the good part, not exactly what's on the table...but always something great). We invite family, friends, coworkers to join us for some time together. We sing songs, play games, etc. We open the gifts from family and friends on Christmas Eve, and we include an ornament for each of us that means something specific about that year. (Reminds us of a trip we took, or an inside joke between my husband and I, or the latest favorite cartoon character or hobby for us, etc). Like Sky, I'll give the boys their personal ornaments later, but for now, the Christmas tree is like a story of us. We read the Christmas story together on the couch, say our prayers, and go to bed. Santa comes at night (and Jeremy took up what my dad used to do for us when we were little---he goes outside and rings the jingle bells so the boys hear it out the window. In the morning, we do play Christmas music while opening the gifts. We have a rule that when they wake up, they come get us before opening presents so we can see too! Santa always mysteriously leaves unexpected little gifts for mom and dad too, because we're good. We have our stockings as well, with the same stuff in them that my husband and I grew up having every year: orange, apple, different kinds of nuts and candies, and then a couple little toys or surprises. After that, we can Skype with family and friends around the world (we're spread out everywhere), play with toys and stuff, etc. We very often go to the movies later that day. Instead of another dinner, I'll put out trays of food (leftovers from last night's party and some cheeses, crackers, dips, etc) and it's just a grazing kind of day, which is VERY rare for us. That way I don't get aggravated that I've cooked (again) and trying to pull people away from friends and new toys to sit down and have dinner and like it darn it! We just let it be casual and we can sit if we want, or come to the table a little later if you want. We cuddle up and read the year's new special Christmas book (we get ONE new Christmas themed book every year, often autographed, to read). We sleep, make cookies, play, do some scrapbooking.