Clearly it would have to be Die Hard! And, that's actually a completely serious answer, too... my sister and I made a point of watching it on Christmas Eve last year.
Though, I suppose for something that's actually about Christmas, probably one of the many, many adaptations of A Christmas Carol. The Muppet Christmas Carol was pretty good... or, Scrooged, do you remember that one? With Bill Murray. I haven't seen that in years, though. There was a more straightforward adaptation with Patrick Stewart I remember seeing once, too.