Funny thing: Christmas in anime (and Japanese culture more generally) is actually viewed as a primarily romantic holiday, sort of like Valentine's Day is in the west. It's also traditionally commemorated by eating fried chicken, of all things.

I can't recall any specific Christmas episodes from shows I watched though, though I think Super Sonico had one where the eponymous character dressed in a sexy santa outfit and handed out fliers to kids or somesuch. (Not as wrong as it sounds in context)

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Evil flower of Pure Illusion... we're going to pluck you out!

Toradora had a really great Christmas episode, and iirc the end of School Days took place around Christmas. Amagami SS is all about romance and Christmas. Tokyo Godfathers is a really good film takes place on Christmas Eve. Last one I can think off of the top of my head is Mobile Suit Gundam 0080: War in the Pocket, which does take place during Christmas time but isn't actually very Christmas themed. Really good though.

While not directly Christmas themed, White Album, White Album 2 and Kanon (2006) are heavily winter themed. Well, iirc White Album had direct references and events related to Christmas, but I don't think White Album 2 or Kanon 2006 had any. They are depressing as shit but if you like depressing melancholic romance set in winter time they are probably the best you can get.