When I was little, my parents made up a game for my sister and I. We'd drive around, looking for Christmas lights, and listening to Christmas music. Every time we'd see a light display, we'd call out "Christmas lights!" and we would all admire the hard work put into the displays.
Nowadays, my husband and I are passing that tradition along to our children. Last year, Paul took me to see some of the displays that he passed on the way to work, and it makes me smile to this day.
Bake with your kids! Put on your favorite Christmas music and have fun. Take lots of pictures of your flour-covered kids, use pasturized eggs if you're planning on letting them lick the spoons and bowls.
Search the web to find local events. Lots of communities host Christmas events, like caroling, or your local school's music program might be having an event. Visit the Christmas displays in your town. Make hot cocoa and really savor the time together.