Celebrate Christmas in an old-age home. Organize a Christmas party in the cancer wing of a hospital. There's so much you can do for the less fortunate ones. Giving back holiday traditions not only make others' lives better, but will bind you even more with your family.
You can have them make Christmas cards, family scrapbooks (it'll make the elders very happy), puppets, reindeer ornaments, etc. Start this as a family tradition and have a different contest every year. Save the crafts so that you can reminisce about the wonderful times you've spent with your family.
Check who bakes the goodies the fastest. Laugh about it later, and sit down to an enormous, home-cooked meal of cookies, cakes, whipped cream, buttered baked potatoes, turkey, corn muffins, chicken pies, etc.
This is a great Christmas tradition to start with your family; it's less expensive than a resort, and you get to learn a lot of stuff. You could also book a mountain cabin and go snow-sledding, or book a trailer and sit by the fire (a great idea if you are newly married), or get to a quiet place with a beach.
Give them homemade presents like family photo collages on blankets, personalized journal with family photos, gift baskets, complete with grandpa's favorite watch and grandma's special pies, customized fitness options, etc.
Let the kids listen to grandpa's special stories one night, let the youngest child of the family leave a note for Santa, have a night of family Christmas games, a night of singing carols together, a night of making Christmas ornaments, a night only for baking goodies, etc.
It indicates that your child is a Christmas present from God. An even more poignant tradition is to make Christmas special for your pets; spend time with them, bake them goodies. They are, after all, a very important part of the family.
Involve children to decorate the Christmas tree. Watch movies with the entire family. Attend local Christmas plays and concerts. Have a snowmen building competition. Make gingerbread houses and hot chocolate. And, there are so many more.