One of the best Christmas horror stories is 'Silent Night, Deadly Night'. It's about a young boy who has a traumatic experience at a Christmas event and later goes on a killing spree. Another is 'Krampus', which features the terrifying Krampus, a horned figure who punishes naughty children during Christmas time. There's also 'Black Christmas', a classic slasher set during the holiday season.
Some good Christmas horror stories include 'Rare Exports: A Christmas Tale'. It has a unique take on Santa Claus, showing him as something far more sinister. 'Dead of Night' also has a Christmas - themed horror segment. It's an anthology film, and that particular part is really spooky. 'Better Watch Out' is another one. It starts as a typical Christmas babysitting situation but then takes a very dark and unexpected turn.