The last few years before advent, I've made a list of the activities we'd like to do to help celebrate the season. Sometimes, they are as simple as hot chocolate in front of the fire; other times, they are an involved craft that take quite a bit of time. In the last two years, since my kids figured out that I have a list, they ask me almost every morning of December what the activity is for that day. They really enjoy knowing that I've planned something special to help us celebrate the entire season.
I try to match up bigger activities with the weekends and age-appropriate activities depending on who's here that night. (For example, since we share custody of Paulie, Elizabeth, and Philip, I planned the Santa Claus paper dolls for the night they are at their other parents because it's an activity geared more toward Finn.)
A few of the activities on my list are available in my local area, like Tanglewood Lights and Old Salem, but most can be done anywhere with readily available materials.
It seems as I'm reviewing this list that I might more complex crafts than I have in years past. My kids are now ages almost 6 - 13, and they really are at the perfect ages to accomplish a great deal and continue to really enjoy the process. I'm not sure how many more years of this I may have before my oldest kids lose interest, and I intend to take full advantage while I still have 4 capable, engaged children.
I placed below as many links as I could find to the activities I have in mind. Please feel free to share more if you have a good idea not mentioned here or a particular activity that your children enjoy every year!