Well, the Jethro Tull Christmas album is always awesome. My particular favourites are
First Snow on Brooklyn and
Jack Frost and the Hooded Crow, and pretty much all the instrumental tracks.
Aside from that, I love
Wizards in Winter for its sheer epicness. TSO has loads of Christmas songs, but that one is hands down the best IMO.
And from more traditional fare, I've always liked
this one (though the performance could be better).
For a godless heathen, I'm pretty fond of Christmas music xD.