Hi!
I live here in Madrid, but have also been keeping my eyes peeled for Christmas concerts. The Churchs tend to have concerts, but for Christmas eve.
I have bought tickets for Oliver Twist, a musical for kids and the whole family, playing at Centro Cultural de la Villa (located at Plaza del Colon) on the 26th, 27th, 28th, 3rd and 4th with a cost of 10 Euros each. Also, Jesus' birthday (a puppet show) is playing there on 26th, 29th, 2nd, and 5th for 5 Euros each.
To order, you use your visa and pick up tickets at the shows 1/2 hour before. The phone number to order is: 902 10 12 12 (from Madrid, I don't know if it works from overseas, I suppose it would with country codes first). There is a small comission of less than 1$ per ticket. They also have classical music concerts for those dates, but don't look like they have Christmas themes to them (and American Gospel for before you come: I'm going to The Mississippi Mass Choir on the 22nd!)
If I hear of anything else, I'll answer again! Are your children young, as that influences your interests perhaps.
Enjoy!