I haven't written any letters for special occasions, but I do have "letter books" for each of them.
When it occurs to me, I write them a letter, as if I was writing a letter to a friend. I tell them what is going on in my life, what is going on in their lives, what I'm worried about, what I'm happy about. It is a snapshot of our family life, right now.
The letters are written more or less like journal entries, in pretty cloth-bound journal books. It started by accident; at the shower before my eldest was born, the hostess passed around this journal, and had everyone write their thoughts, advice, and well-wishes.
I continued on with letters, and bought another when my second child was born. I don't know when I will give it to them. When they have their own children, perhaps? I don't know. Doesn't matter - they will get them, when it feels right, or if something happens to me, whichever comes first.