I've done these for Hallowe'en and Thanksgiving, but totally forgot that I'd done one last Christmas!
"White Christmas (live)" by The Flaming Lips, from The Soft Bulletin tour (1999)
I caught this tour in Houston the following April 7th. I don't recall any special Tax Day covers, but a strong show all around (especially as a trio). O yeah, and it was in some small metal club in South Houston.
Obviously, with the Lips I could have picked any number of holiday cheer options: "Christmas at the Zoo," "Little Drummer Boy," a whole secret Christmas album (2007), "A Change at Christmas (Say It Isn't So)," "Happy Xmas (War Is Over)" (w/ Sean Ono Lennon), "Silent Night," "It's Christmas Time Again" (really anything at all from the Christmas on Mars film, 2008), "What A Wonderful World," "Miracle on 42nd Street," et cetera... And that's not even touching on the many random Jesus songs.
[Edit: HA! Immediately after posting, I see on the Flaming Lips Facebook feed: "Here's the newly discovered Imagene Peise track, Christmas Kindness Song. Love." ... posted 15 mins ago.]
"Please, Daddy (Don't Get Drunk This Christmas)" by John Denver, from Rocky Mountain Christmas (1975)
Project Grimm played this song on Friday, wearing these creepy Christmas luchador masks. It was a bit more rockin' version...
The opening act covered Mariah Carey for some reason. Irony, I'm thinkin'.
"Troika/Romance" by Sergei Prokofiev, from the score for Lieutenant Kijé (1934)
Here's some 20th-century classical music from Prokofiev. You can watch the Soviet film at Archive.org.
I know that piece has been used in tons of winter movies, but I just read about Free Design's song "Kije's Ouija." Groovy! It's Love and Death (1975) I was thinking of - hilarious film.