Well, obviously they spend a lot of Christmases having to save the world, but in the mish-mashed world in my head at least it's a group thing.

Martha and Mickey try and invite everyone over for Christmas, Donna attempts to corner Jack under the mistletoe, (when the Doctor and Rose aren't there), the Doctor's on edge until the world actually get into peril at which point he's calm because things are going the way he expect them to. Sarah Jane and Luke are happy they hosted Christmas for the Bannerman Lane crowd and didn't go to Martha's party because things always get weird there; but they do start a tradition of getting all the old companions together on Boxing Day (though not all of them can come for various reasons).