In iTunes, I have assigned the genre "Christmas" to all my Yuletide music, albums and singletons alike. This makes it relatively easy to add them to my iPod or remove them at once with the click of a button. (Some sequester their Christmas music to a different iTunes library, but I haven't gone that far yet.) I have a few static playlists that group a series of albums together, for example, all of the Windham Hill Winter Solstice albums. My friend Bob has a static playlist containing only instrumental songs, for when he just wants background music.
My own quixotic contribution to the world of Christmas playlists is a smart playlist that collects and sorts all of my Christmas songs in alphabetical order.
Liz prefers hearing her Christmas music by album; each album has its own personality, sound, and emotion that she enjoys. For myself, I rather like the randomness and juxtaposition of so many different songs in one place. I get a kick out of hearing nine different versions of "Joy to the World" -- community chorale, solo vocal, piano instrumental, surf guitar -- one after another. Or picking a letter of the alphabet and starting my listening there, just to see what comes next.
Here's a screenshot of settings for this playlist:
When iTunes creates the playlist, make sure you click the Name column header to ensure they're sorted alphabetically. Then sync the playlist to your iDevice.