I've got a few, most of which have been mentioned here:
CHRISTMAS VACATION
SCROOGED
A CHRISTMAS STORY
HOME ALONE
And a couple that haven't:
MICKEY'S CHRISTMAS CAROL
Yes, I may suck at Disney's teat once a year, but when I was a kid I used to look forward to this on TV for weeks.
SANTA CLAUS: THE MOVIE
Yes, the second half just about kills the whole thing, but Mancini's music is wonderful, and some of the effects work is downright amazing. The photography has a lived-in, timeless quality to it that I just love.
On a different but related note, I just recently noticed that nearly all of Shane Black's screenplays are set at Christmas time. Has he ever mentioned this in interviews?