Given that my family is pretty small with just my 1 sibling, we would pick a fun activity like a play or concert to go to each year as a family. On our way, we usually grab dinner together. We're now a little larger with our spouses and the grandkids but we still try to do it every year. We've seen a lot of fun things like the Trans-Siberian Orchestra, Kurt Bestor, and the Forgotten Carols.
When I was a kid we used to act out the nativity scene but we don't do that any more. Now my brother just makes this killer eggnog made out of lighter fluid.
Every year on Christmas Eve my family gets together and we put on a little program. We play piano and sing songs. Then, we all sit down and reminisce about past Christmases. It's good times.