I would consider going to Alsace - ok I'm biassed because I've lived here for 13 years - but I'm also informed!

The French generally celebrate Christmas on Christmas Eve. The trains run on Christmas Day - a reduced service it's true. Shops and attractions inside buildings are closed (as you'd expect) but the mountains are 'open' for walks, maybe even skiing depending on the weather, and Strasbourg Cathedral is open for business! In Alsace 26 December is a public holiday (not elsewhere!) but from 27 December everything is running as usual. The Christmas Markets are open before Christmas; some stay open till New Year. You can visit the Thermal Baths just over the border in Germany, enjoy Vin Chaud and Bredele (local little biscuits), there are wine growers to visit and sample, visit Haut Koenigsbourg Castle, the Eco Musee (open air museum with working businesses in old houses) in Ensisheim, the Car and Train Museums in Mulhouse, the Unterlinden Museum in Colmar, you can go to the equivalent of Alton Towers (Europa Park in Rust, just over the border - they have a website), the wine villages are beautifully decorated and you can eat and drink well - though book ahead for Christmas Eve and Christmas Day, also New Year's Eve which is the BIG festival here! You'll have a great time, and it's usually not too cold (our cold snap usually starts in Jan-Feb) but it could be wet.

You can fly into Baden Baden with Ryanair, or Basel with Easyjet and Swiss.

Do let me know if you'd like more information - incidentally the Comite Regional du Tourisme (CRT) puts a lot of money into Christmas in Alsace - check out their website using Google to help you (sorry don't have it to hand at the minute).