Have an anti-capitalist gift exchange. Everyone in the family either makes a gift to give or gives away something they already own. You can distribute the presents any way you want (ex. secret Santa). This ritual will hopefully inspire your family with creativity and give them a lot more joy and bring you closer together than exchanging store bought presents ever could.
Another cheap or free way to have your family give each other something meaningful is to put together a family mix CD. I know that mix CDs are a little out of date in 2010, but your parents still haven't figured out how cassette tapes work, so they won't mind. Divide the 80 minutes that make up a CD-R into as many parts as you have family members. For example, if you have five family members, that's 16 minutes each. Then have each person pick enough songs to fill up their allotment and write a short description for each song and an explanation of why it is meaningful to them. Collect all the song choices and burn them onto a CD, collect all the write ups and make a booklet, and then make enough copies for every family member.
Deliver Christmas hampers for the Christmas Cheer Board (or equivalent organization). Driving around with your family delivering hampers is the perfect opportunity to listen to that mix CD you all made together!
I will being doing all three of the above activities this Xmas and Jacquie gets full credit for coming up with the first two.
What rituals do you engage in during the yuletide with your family and friends?