When I was growing up, my parents started a tradition of giving each of us kids an ornament in our stocking which signified an important event in the previous year. Last year we got Sam and Rachel caught up on this tradition and gave them some ornaments retroactively.
Another tradition is that last year my parents sent me the Nativity Set I'd bought for them when I lived and worked in Israel-Palestine. I like putting it at the kids' level so they can play and interact with it. Last year Sam mostly just looked at it but this year he has gotten a little more creative!
As you can tell, Sam doesn't necessarily have it wonderfully set up but he does enjoy playing with it!
Another thing which wasn't meant to be a tradition but has happened two years in a row now, is me decorating my Peace Lily with mini ornaments. It's a little quirky but Hey! I might as well have fun with it, right? :)
Also, last year, we went to the light display in our local park, called "Wonders Of Winter." I am really excited to take the kids there again this year.