I know there aren't that many, but at least there's a few. I'm not including games that take place during the calendar year either in real time (like Animal Crossing) or not (like Persona).

• Christmas NiGHTS into Dreams: pretty self-explanatory, it's also included in the later console ports, although it's missing the cool presents you could get, including being able to play as himself.

• James Pond 2: Codename: RoboCod: takes place in Santa's castle and you have to save Christmas.

• Yakuza: surprisingly many of them take place at Christmas.

• Daze Before Christmas: a platformer for the Mega Drive and SNES that's not particularly good.

• Xmas Lemmings: basically demos of Lemmings with Christmas-themed levels, there were a bunch of these for PC and Amiga.

• Tyrian: Originally a DOS shmup that was released as freeware and now has open source ports, there's a Christmas mode that activates if the system clock is set to December. I'm pretty sure there were other DOS games with Christmas modes too.

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• Duke: Nuclear Winter: a Christmas-themed expansion for Duke Nukem 3D.