With Christmas only a few days away I got thinking is there anything in TES Lore about a Xmas like ceremony? I know there are all sorts of Gods that people worship but is there a "Savior" that is worshiped by giving gifts to each other?

Not sure about christmas, but when I'm home over new years I'll be making a Nordic Paladin of Talos.
Or maybe a Talos Khajit if I'm feeling saucey.

As for actual in-game celebrations I'm quite sure there's not much festive season in Skyrim.

There's the burning of King Olaf celebration... sometimes I find myself wishing there were some holidays in Skyrim... The villages are decorated, the shops offer special deals... yada yada... but then I remind myself that I'm not playing Everquest.