Bring in wrapping paper and gift bags. Wrap up one object from the classroom for each child. Explain that you're playing a game and these aren't really gifts for children to keep. One at a time, give a child a "gift." Ask her to feel it, shake it, smell it or whatever else she wants to do to figure out what it is. Once she's guessed, she can open it up and see if she's right. You can also wrap up fewer gifts and pass them around for everyone to feel and guess.
Children can play these games over and over again, so they'll be occupied for hours. Cut a Santa, snowman or Rudolph the Red-Nosed Reindeer figure out of construction paper and draw on a face with no nose. Cut out a few dozen paper noses. One at a time, tie a piece of red and green fabric over a child's eyes. Hand him a nose with tape on the back, then spin him around and see if he can stick the nose on the right spot of the cut-out. You can also play "pin the button on the snowman" or "pin the beard on Santa."
Enlist preschoolers to help you make a batch of gingerbread cookie dough. They can help measure and mix the ingredients. Spread the dough out flat on a cookie sheet and bake it. After taking it out of the oven, wait one minute to let it cool a bit, then cut the cookie while it's still soft. Cut it into small, oddly-shaped pieces and have children put the "cookie puzzle" back together. You might also cut it into the shapes needed to assemble a gingerbread house. Give children the shapes and see if they can figure out how to assemble the house.
Most preschoolers are familiar with the basic cast of Christmas characters, such as Santa, the reindeer, Frosty the Snowman, the Grinch and so on. Pick one child at a time to choose a Christmas character. You might whisper an idea to her if she needs help. Each child then acts out her character without saying the name. The child who guesses correctly goes next. You might also run the game and just have children guess. Act out the characters or give clues such as "My belly shakes like a bowlful of jelly. Who am I?"