As a non-Christian I mostly celebrate something called as Kekri. The exact time for that is in the end of November but modern western society gives time to spend that only now, when most of the Finns who are Lutherans are having Christmas.
And the way how we Finns spend these holidays is very heavily oriented on eating well and staying at home with family. In news they told a book is still the most popular Christmas present here in Finland. This means that we Fins usually also spend the winter holidays reading those books.
Another popular way to spend time is playing all kinds of board games. For my family the greatest game at the moment is Carcassonne. What makes the game so great is that during the game there can be many twists on who's in the lead and yet you can't be quite sure who's going to win until in the very end of the game when all the points are counted.
So, Merry Kekri, Christmas or what ever you celebrate at this time of the year.