One important to us tradition that we have done the last few years (this is either our third or fourth year) is our Jesse Tree readings. The Bible prophecy stated that the savior would come from the tree of Jesse- Isaiah 11:1: "A shoot will spring forth from the stump of Jesse, and a branch out of his roots." The Jesse tree readings take you from the creation of the world to the birth of the savior and trace the path. More information can be found on the Jesse Tree by searching the internet, but one good place is here.
The Jesse Tree readings usually start the first Sunday in Advent and run till the birth story is read on Christmas day. I have also seen a reading that went two days past Christmas and talked about the flight to Egypt.
Some people make ornaments or other nice symbols to go with their readings. I hope one day to get something made but haven't yet. The first year we did have little paper symbols we glued on a big paper one each night, but haven't done anything with it yet.
Another tradition we have is one that my parents did for us as kids. I carried it through for my kids as well. At first I didn't think it was that big of a deal, but this year my second oldest asked if it was going to happen- so I guess I have to follow through! It simply is that when I put the children's stocking stuff up, I always put an orange in with it. For some reason it seems to be this special thing- even though we have oranges all the time during the winter.
One last tradition I will share is one I don't think I am going to be able to do this year as it involves my sister and she is temporarily living out of state. Life gets hectic and you never seem to be able to get all the baking done that you want to for the holidays. My sister and I started getting together and having a big cookie making day several weeks before Christmas. The first few years we did the cookies from start to finish. Last year (and what worked best) we made the dough and froze it in cookie sized balls. We got a lot more done together then we would have apart.