I had mentioned in these pages a few days ago about the last run of the Stone Roses in December 1994, citing their Leicester gig. Here's a monster of a guitar gig from Leeds University on December 13 of that year. At Brixton Ian Brown introduced the encore of "I Am the Resurrection" by saying, "Make a wish for Christmas." This Leeds show is all about John Squire's guitar. It's a bit show off-y, but that's fine for a one-off. Behold the savage riffery of "She Bangs the Drums."
Keeping matters in a Mancunian vein: this is the last gig by the Smiths from December 12, 1986, and it features their one and only performance of "Some Girls Are Bigger Than Others."
Here's a Christmas/New Year's episode of Quiet, Please, from 12/29/47 called "The Rain on New Year's Eve." That particular site is an excellent resource on the series.
One of the best of all Yours Truly, Johnny Dollar episodes is the five-parter, discussed in these pages, "The Nick Shurn Matter," from 1955, but there's also a cute half hour episode about a singing mouse called "The Missing Mouse Matter," from December 23, 1956.
Always have dug the Rathbone/Bruce Sherlock Holmes radio Christmas episodes, like "The Adventure of the Christmas Bride" from 12/21/47 and "The Night Before Christmas" from 12/24/45. Love the hockey rink organ.
This is from Bob Dylan's residency at LA's El Rey Theatre on 12/18/97. Not a Christmas work per se, but I like the idea of going out to see one of Dylan's best shows at Christmastime.
For a while, Harry Gratton’s 1905 ghost story, “A Christmas Ghost Story” was among the best known in the world. Why? It was one of the first audiobooks, after a fashion. Here’s the original recording from an Edison cylinder.
The best story of any kind that I have read in quite some time is F. G. Grundemann's "Squire Humperdinck and the Devil" from 1913, which is also a Christmas story.