"Dulce Domum" from The Wind in the Willows, by Kenneth Grahame
Rat and Mole find Christmas in Mole's old home, and deepen their friendship along the way. Grahame's characters are sweet and sad, and happy in the end just in having what they have and being what they are.
"Yes, Virginia, There Is a Santa Claus" from The New York Sun, by Francis P. Church
Another absolute classic; it's really about what happens when a cynical old newspaperman encounters the need for Christmas in an innocent question from a young girl's heart.
"Gift of the Magi" by O. Henry
It's one of the most famous Christmas stories ever, and rightly so. As O. Henry himself put it, "I have lamely related to you the uneventful chronicle of two foolish children in a flat who most unwisely sacrificed for each other the greatest treasures of their house. But in a last word to the wise of these days let it be said that of all who give gifts, these two were the wisest."
"The Night Before Christmas, by Clement Clarke Moore
"The Night Before Christmas" (which really isn't that; it's real title is "A Visit From St. Nicholas") is another classic no Christmas anthology could do without. Mom and Dad wake up when they hear the reindeer coming and can hardly believe their eyes!
"Christmas Morning" from Little Women by Louisa May Alcott
At Christmastime, Meg, Jo, Amy, and Beth learn to share their Christmas joys and fun with others, and along the way, have a wonderful time doing it.