The Twilight Zone
Season 1, Episode 13 (1985)
This one's for all you bible-thumpers out there: A priest-slash-astrophysicist's faith is shaken when his team discovers the remains of a great civilization wiped out by a supernova that made the Star of Bethlehem. God might as well have made a cameo: most of the lines here are either in philosophical debate about Him, or in anguish against Him. The whole twist, obviously, is deeply rooted in the biblical Christmas story. What makes this episode truly frightening is how preachy it is, but hey, at least it's got anthology legend Fritz Weaver in it. (A bit of trivia: This segment shares an episode with the remake of Night of the Meek.)
Back for Christmas
Alfred Hitchcock Presents
Season 1, Episode 23
Don't let the title fool you; this is another episode that has very little to do with Christmas. A married English couple vacation to America and plan to return mid-December, but the husband kills his controlling wife so he can stay there permanently. He's laid plans to start a new life, but the last-act turn makes sure that he's "back for Christmas." It's an interesting watch, but it leans more towards suburban nightmare than holiday-themed horror.
Five Characters in Search of an Exit
The Twilight Zone
Season 3, Episode 14 (1961)
Exactly what it says on the tin. Five seemingly random people are trapped in a cylindrical room with no memory of who they are or how they got there, but are determined to escape. Now, this makes it on the list almost on a technicality: Though it's a classic, you couldn't tell this is a Christmas-related episode until the very end. That it takes place during the holidays is actually a part of the twist, but the plot itself is really more in the vein of No Exit or Cube--and, more likely, inspired the latter.