The only slightly abnormal "holiday" thing we do has nothing to do with the winter holiday season. We don't celebrate Mother's day on its "traditional" date, because it's such a Hallmark holiday, but rather, we celebrate it on my birthday, since I'm the oldest and therefore Sept. 6 is the day Mom became a Mom (she went into labor on labor day). I think I'll celebrate it this way when I have kids, it seems to make quite a bit of sense if you think about it.
As far as the winter holidays, we're multifaith, so we do both Christmas and Hannukah.... this year Hannukah begins on Christmas, so Christmas ham with a side of latkes will probably be on the menu.... (We're already celebrating Jesus's birth.... keeping kosher is clearly a moot point!)
One thing we always do is sign up for a Saturday shift for the Salvation Army at the pedestrian mall in my hometown. Instead of ringing bells, we sing Christmas carols. We invite lots of friends and have a great time, and are consistently one of the biggest money-raisers for the SA Christmas Drive. I haven't been able to do this with the family for several years, since I moved away, but they're still going strong. When I have kids, I'll make a point of either starting the same thing here or taking them home so they can take part in it there. Combining fun with philanthropic activity seems like a good way to teach kids that charity work isn't a drag.