Jeeze I'm sure exactly where to post this thread, but this is probably as good a place as any. It might be fun for people to start posting different things to do during the holidays.
I'll start with a novelty this year. If you're in the mood for a nice evening Christmas walk, in addition to the typical spots in the center of town, I'd recommend going over to the Retiro Park where they have erected a huge iron Christmas Tree covered with lights. It almost looks like a teepee because it's basically a cone with swirling lighted shapes on the outside. Once there, go inside and look up. Impressive, as if you were in a church with a lighted dome.
It's in the Paseo de Coches, enter from Calle O'Donnell, or through any of the entrances along Menéndez Pelayo (Doctor Castelo, Ibiza, Sainz de Baranda, etc.). The trees along the Paseo de Coches have lights in them too, so it's a nice walk.
I've even heard they were going to set up a temporary iceskating rink there too, but I'll have to confirm.
For something different, give it a try.