Well here are some suggestions from my own personal experience.
For example, one of my favorite things to do is hold a Gingerbread/Baking party with my family and friends. Everyone brings their own selection of candies, baked goods or special drinks, and we all enjoy making either Gingerbread houses or Cookies. Even not baking anything, just smelling all of the good things around and having fun conversations is great at these parties. I especially love when everyone picks out a great Christmas CD or DVD, which either is great background noise or a great thing to watch/listen too all together. It's also fun to pick a fun apron to wear as you bake these goods. Personally, I have a Rilakkuma Apron (which can be found here) that I can't live without. Just be careful if you do plan on wearing lolita, baking gingerbread and cookies can be very messy at times (wouldn't want to ruin your Angelic Pretty jumperskirt, or Baby blouse.)
Speaking of CDs, I have to recommend my two personal favorites. One of them I am actually listening to as I am writing this. A Classic Cartoon Christmas is a fantastic collection of merry jolly tunes from your favorite cartoon christmas specials. Including all the Rankin/Bass (Rudolph, Frosty The Snowman) specials and Muppets specials, just to name a few. I also have to recommend Nat King Cole's "The Christmas Song" album. It's just classic traditional christmas music, with my personal favorite spin of Nat King Cole.
In terms of movies, I have a couple to recommend.
1) The Polar Bear King
This is based on the fairy tale "Kvitebjørn Kong Valemon" and is about two kingdoms, Winterland and Summerland. In Winterland, a wise old king is trying to keep his youngest and most precious daughter from leaving her home. She wants to travel to a place filled with flowers and sunlight, which then brings up the other subplot, King Volemon's story. He is the new king of Summerland, due to his father's passing. When he and his mother are visited by The Evil Witch, he angers her and in turn is transformed into a Polar Bear. In his new form, he goes in search of a bride that can fix his curse. This is where The Winterland and Summerland are crossed in fate. You have to see the rest though. It's delightfully adorable, 80s cheesy, but yet a beautiful fairy tale. (Psst, it can be found on youtube here... just promise to watch the real thing, since she hasn't uploaded all of it)
2) A Muppet Christmas Carol
I know I know, this is such a strange choice. But I honestly think this is the best adaptation of the classic story. Why? Well for one thing, it's the only version I'd ever show to kids, because I think every other version is very frightening. This takes the story, adds a bit of pop to it, yet makes it educational for the kiddies! Also Michael Cain's Scrooge is great. Very classical, and adorable at the end. My favorite aspect of it though? Well aside that my favorite Muppet narrates it(Gonzo), The music is amazing. Very cheery and bright, and actually beautiful on occasion. Highly recommend it !
3) The Nutcracker Prince
This is personally my absolute favorite christmas movie. It stars Kiefer Sutherland, and tells a bit of a different version of the classic Nutcracker story. I recommend checking out the trailer for it, not that it's super special, but you see what I mean by saying it's my favorite. Especially for lolitas, I think the aspect of what happens to Clara near the end of the story will really delight some of you (but I won't give it away incase you don't know the story). Some of the scenes have some really nice animation (especially the Sugar Plum Fairies sequence), and some parts are actually rather intense, but I can't tell you how fabulous this movie is till you see it for yourself !
So what do all these recommendations have to do with lolita? Well I really think lolita's will appreciate these things much more then the regular person. First of all, in terms of the movies, they all hold lolita ideals, and coordinate inspiration I might add. Did I mention that all these movies have great coordinate ideas? (Now I'll zip my trap)
So what do you all do during the holidays? Any special events before Christmas? Listen to any music? Watch any movies?
I'm sure its full of whimsy and fun.
(Photo courtesy of weheartit.com)