I usually play some old games that I got as Christmas presents way back when. This usually includes Super Mario World, Sonic 2, Final Fight CD, Terminator CD, a few others. I used to play Snatcher every Christmas too but that's the kinda game that isn't that enjoyable if you replay it too much, so now it's more of a once every few years thing.
This year, I did run through Snatcher, Final Fight CD, and I 96 starred Mario World a couple of times. I still need to run through Terminator CD and I might add Mario 3 to the list since I did get that at Christmas as well. I'm not sure why anything past the 16 bit era doesn't really have the same warm Christmas fuzzies, I guess by that point the Christmas magic from being a kid is gone.