Why not make up your own advent calendar with your children?
Starting on Dec. 1st have a special activity planned for each day leading up to Christmas morning.
They don't have to be big. You could have:
make Christmas cookies
paint ornaments (hobbies stores usually have some neat stuff, or look at
Oriental Trading Company for ideas)
go see Santa one day
go visit a light show
etc.
Make up a big calendar - and write down on each day what you are going to do. Then cover up each day with pieces of paper (stick-it notes are great for this. You can cut them to the size you need, they come in different colors, and when you peel them off they don't tear up the calendar.
Each night before the kids go to bed, have them pull off the activity for the next day (or you can do it 1st thing in the morning if you really want it to be a surprise).
And you can include things like caroling at a nursing home, taking canned goods to a homeless shelter, etc. so that they can get the idea of Christmas being a time of giving and caring, too