Boys Names
Alfredo - Christmas elf.
Casper - one of the three kings who visited the Christ child in the bible.
Celyn - meaning 'holly'.
Christian - 'A Christian' - as a lot of people celebrate Christmas as the anniversary of the birth of Christ, this might appeal to you if you are more traditional.
Christopher - 'A Christian'.
Claus - from Saint Nicholas, or 'Santa', the bringer of presents.
Dion - from the Greek God of wine, intoxication and partying. Good if you have Greek roots.
Ealhdun - Christmas elf.
Eldan / Elden - Christmas elf.
Epifanio - the season which follows Christmas.
Euell - 'Yule'. This one is a good one if you want a festive name but aren't particularly religious.
Gabriel - from the Angel Gabriel. Gabriel was the Angel who visited Mary to let her know she was pregnant with the baby Jesus.
Ingel - meaning 'Angel'.
Jasper - one of the three kings who visited the baby Jesus in the bible.
Jesus
Joesph - the carpenter, Mary's husband.
Malachi / Malakai - God's messenger. It can also mean 'Angel'.
Michael - the Angel of love and families.
Moore - from Clement Clarke Moore, who was the author of 'T'was the Night Before Christmas.'
Natal - Jesus' birth.
Natalio - masculine version of Natal and Natalie, meaning Jesus' birth.
Nicholas - from Saint Nicholas, or 'Santa'.
Noel - 'Christmas Time'. It can also be spelt Noell and Nowell.
Robin - 'Robin Red Breast', the Christmas bird.
Snowden - 'snow'.
Tannon - from the Christmas carol, 'O Tannenbaum'.
Wynter - 'Winter Time'.
Yule - the winter festival. Great for those who are non-religious, more spiritual than religious, or pagan.
Girls Names
Angel / Angelina / Angelica - all names for Angel.
Avery - Christmas elf.
Belle - could be for Christmas bells if you wanted to theme it this way.
Carol or Carolle - from Christmas carol.
Christmas.
Christine / Christina / Kristina - 'A Christian.'
Christy - a form of Christine, 'A Christian.'
Eira - 'snow'.
Eve - As in Christmas eve
Gabrielle / Gabriella - feminine version of the Angel Gabriel, the angel who told Mary she was pregnant with the baby Jesus.
Glory / Gloria - from the Glory of God.
Holly - from holly tree.
Hope.
Ivy - a Christmas plant.
Josephine / Joesphina / Josie - feminine forms of Joesph the carpenter, husband of Mary.
Mary / Maria - Jesus' mother.
Merry - from Merry Christmas.
Michaela - feminine version of the Angel Michael, Angel of love and families.
Natalie or Natalia - Jesus' birth.
Natasha - Jesus' birth.
Neva - 'Snow'.
Nicole / Nicola - from Saint Nicholas, or 'Santa'.
Noelle - Christmas time. Feminine version of Noel.
Robyn - feminine version of Robin, the Christmas bird.
Star.
Talia - a version of Natalia, Jesus' birth.
Tasha / Tashia - a form of Natasha, Jesus' birth.
Virginia - 'Virgin', from the virgin birth.
Winter.
If you go passed your due date and end up with a New Year's baby, here are a few more choices:
Boys New Year Names
Newman - 'new arrival of the year.'
Newlyn - 'new year.'
Newcombe - 'new arrival of the year.'
Nova - meaning 'new'.
Renae / Renee - French for 'reborn' or 'reincarnated', perfect for the new year, particularly if you've had a previous pregnancy loss.
Walid - meaning 'newborn.'
Girls New Year Names
Aurora - Goddess of the Dawn.
Dawn - morning time.
January - after the month.
Renee / Renata - French for 'reborn' or 'reincarnated'.
Usha - meaning 'dawn'.
Virginia - 'Virgin', from the virgin birth.
Winter.
Hope I helped!!! :)
Here is a link with one or two more ideas
http://www.thinkbabynames.com/search/1/christmas