Apples4theteacher appears to be a site designed for teachers and has coloring sheets, poems, songs and more. It looks like there is quite a bit here, but you have to hunt a little.
Coloring Book Fun has coloring pages for a lot of things, including religious Christmas pages.
Resources for Catholic Educators links to coloring pages too.
A Google search for Christmas coloring sheets will give you lots of options, but check them out before turning the kids loose--some are anti-Catholic.
CatholicMom has lots of ideas to keep the little ones busy.
Catholic Culture gives us Christmas morning prayers and evening prayers.
Catechetical Resources, from the publishers of the Faith and Life religion books give us Christmas activities for the brain as well as fun things to do.
Check your child's grade on Sadlier's website and find a Christmas activity for his/her age group.
Preschool kids will like this site.
Domestic Church has several Christmas activities.
The ladies over at Catholic Cuisine are bound to have something good to cook for Christmas.
Christian Resources has a section on Christmas Activities for kids. Since the site isn't Catholic, parents should review it before setting the little ones loose, but some are really cute.
Christian Crafters is another non-Catholic site. This one has active games with Christmas themes.
Of course the most necessary part of celebrating Christmas is celebrating Sunday mass with the community. The web gives us lots of resources to help children understand the weekly readings. The publishers of the Faith First religion texts have weekly summaries, discussion topics and activities based on the readings. Sadlier has a similar site.
May you and yours enjoy a very merry Christmas and Blessed New Year.