When I was a kid, my Mom went to town and got a bunch of felt. She bought some decorations (sequins) and we set aside one day where we "made" our Christmas socks (stocking). My parents socks are red with a green cuff and their name (Mom; Dad) in green. The kids socks are all white with different color accent. Mine is burgundy, my little brother's is light blue and my little sister's is yellow. My Dad used an old stocking we had for a template. Using pinking shears, he cut out all the socks and the bottom of the cuffs. Mom sewed them all together along with a loop and we glued on our names (Daddy had cut them out of felt in the color of our cuff) and we got to glue on felt shapes and sequins.
While this isn't something I would think you'd do yearly, it's really kinda cool to take out your sock and remember that day. And no one I know has a sock just like mine! My friends thought they were kinda cool. Now that I've got kids, I'm thinking of doing this with them.
When we break out with the Christmas decorations, my oldest and my husband spend SO much time trying to figure out the perfect place and order for the socks.
Also, we make cookies to leave out. We don't talk about Santa much as I want my kids to concentrate on the true meaning of Christmas - but we bake cookies each year.
I had a favorite decoration when I was a kid and my mother has given it to me. It's a statue - about 6 or 8 inches high and it's Santa bowing at the manger in prayer. This is the first year that it's mine. So, we got it out and talked about it - what it means and why Santa is there. Now we are all looking for the best place to set this so it is focal.
One last thing we do is we all "help" put up our Christmas lights. We all discuss where they should go. (They usually end up exactly the same as last year, but the kids haven't figured that out yet!!) Then when it's dark, we all put on our jackets and go stand as close to the street as we can so we can get the "full effect" of our lights. The kids LOVE it!
Those are some of what we do. It's not super easy to start your own traditions, and sometimes it's just trial and error. Pick something and try it. That's about it!
Good luck!