The Hogfather (2006)
"The Hogfather" is a dark fantasy Christmas movie that stars Death (the Reaper) and his daughter Susan. It's Hogswatch (think pig themed Christmas Eve) and the Hogfather (porcine version of Santa Claus) has gone missing. Death takes it upon himself to stand in the Hogfather's stead, while Susan hunts the missing deity down.
And yes, I know it's really, technically NOT a horror film, but it's a twisted comedy about the end of the world and good old fashioned god sacrifice on the winter solstice to ensure that the sun continues to exist.
Besides, it has Death, monsters in the basement, the Soul Cake Duck, a talking raven named Quoth (get it? It's a reference to "Quoth the raven, Nevermore"), and a crazy cherubic assassin with two different colored eyes (Mr. Teatime [it's pronounced Tea-uh tie-may]).
Bill Murray plays Frank Cross, a selfish, cold hearted TV executive that is haunted by three spirits in this 80's style take on the Charles Dickens classic "Christmas Carol." A must-see for Christmas.
Billy Peltzer receives a strange pet as an early Christmas gift from his strange inventor father. All hell breaks loose when the Mogwai Gizmo reproduces and his evil offspring overrun the town and go on a killing spree.
The Mothman Prophecies (2002)
"The Mothman" is not likely to be on a lot of Christmas horror movies lists but, it takes place during Christmas time, so it goes on my list.
Reporter John Klein loses his wife after they see a strange moth-shaped thing with glowing red eyes fly at their car in the middle of the night. John thinks that he can get answers to what happened to her by investigating the Mothman and ends up in Point Pleasant, West Virginia. There he learns of the entity called Indrid Cold, and the strange prophecies it is telling Gordon Smallwood.
Even though it came out in 2002, this movie still scares the crap out of me every time I see it. This chilling movie manages to drudge up an unsettling dread in the audience with its creepy, brooding atmosphere and haunting soundtrack. Even better, it's based on true events. The Mothman was spotted by people in Point Pleasant, the Grinning Man Indrid Cold did appear to people, and the Silver Bridge did collapse. Don't believe me? Google it. Also check out "The Mothman Prophecies" by John Keel, the book that the movie is based on. I guarantee you will not be able to read that book at night, and if you do, you won't be able to sleep. Trust me, red LEDs shining at you in the darkness from your TV and other electronics will definitely freak you out after reading it.