Not in the Midwest!
Outdoor Christmas activities are usually not a great idea here in the midwest because our winters can get bitter cold and time is better spent indoors. however, in keeping with the "snowy" season ...we have had parties where we had INDOOR snowball fights! These were so much fun... you can use balled up newspapers OR those mesh bath sponges work great! Children have oodles of fun and do not even miss the outdoors!
We don't do a whole lot outside either. If we get a good snow we might go sledding, but that's about it.
Is it just my kids or do you ladies find that the kids can't handle being outside for very long when it is very cold? Mine act like they are freezing to death after a few minutes and want to go in!