One tradition my kids have looked forward to from the time they were very young was our Holiday Baking Day. This is a day set aside to bake our favorite cookies, brownies, fudge, peanut brittle, etc. You name it, we made it. We always like to throw in a new recipe or two.
If this is something you are interested in giving a try, take a couple of days and gather all the recipes (let the kids decide what they want to create), ingredients and supplies. Once the day arrives but on your favorite Christmas music and bake away. If your kids are young, help them pick out a movie to watch where they can still be close if you actually involved.