Christmas is a commemoration of the birth of Jesus. Names that specifically mean "Christmas" include Natalia, Natalie, Natalio, Noelle, Noel, and variants of these names. Other names associated with this holiday range from Mary and Joseph to Nicholas and Rudolph.
Chanukah, a.k.a. the Festival of Lights, is an eight-day festival that celebrates the re-kindling of the Second Temple menorah in Jerusalem. Chanukah-related names include Judas, Judah, Yehuda, or even Maccabee. Hebrew names that mean "light" include Or, Ora, Ori, Orit, Orli. Other names that mean "light" include Lucia, Lucina, Lucius, Lucy, Luz and Nur.
...for the rest of us! This mock-holiday was invented by Reader's Digest writer and editor Daniel O'Keefe. Dan's scriptwriter son (also named Daniel) popularized the holiday by writing it into an episode of Seinfeld in the late 1990s. (Seinfeldian names include Jerry, Elaine, Cosmo, George, and George's father Frank.)
Kwanzaa was created in the late 1960s by Maulana Karenga (originally Ron Everett), an activist and academic who wanted a winter holiday honoring African-American heritage. Kwanzaa is seven days long, and each day is dedicated to a different principle: Umoja, Swahili for "unity," Kujichagulia, "self-determination," Ujima, "collective life; community," Ujamaa, "family," Nia, "purpose," Kuumba, "creativity," and Imani, "faith."
This astronomical event (the longest night of the year) is celebrated in many cultures. Nature-centered names associated with this time of year include Winter, Holly and Ivy.