The website "TV Tropes", a bottomless collection of every storytelling device known to man, calls this "An Ass-kicking Christmas". http://tvtropes.org/pmwiki/pmwiki.php/Main/AnAssKickingChristmas
The immediate examples that come to mind are the first two Die Hard films. Die Hard took the action genre and gave it a much-needed shot in the arm. The formula of the right man in the wrong place at the wrong time is easily relatable, and Bruce Willis played John McClane as equal parts everyman and superhero policeman. All he wanted to do was visit his wife for the holidays. Many action films today owe more than it appears to Die Hard. There is a subgenre of action films known as "Die Hard On an X". Think about it: Speed is "Die Hard on a bus", Under Siege is "Die Hard on a warship", Cliffhanger is "Die Hard on a mountain", and Air Force One is "Die Hard on...Air Force One".
"Now I have a machine gun. Ho...Ho...Ho."
As a Batman fan, I must mention Batman Returns, as far as Christmas-themed action films are concerned. I'll be honest, I didn't really enjoy Batman Returns. I thought it was less a Batman film and more an exercise in the language that is Burtonese. A language that I do not speak. Bizarre, grotesque, at times inappropriately hilarious and altogether not very Batman-ish, Batman Returns is not everyone's cup of tea. But when it comes to an action-packed Christmas movie, this delivers. And the scenes of a snowy Gotham City are gorgeous.