When we moved here, we started going to the Macys in downtown Minneapolis. We start at the Mall of America, take the light rail downtown then go to Macys' where they have a really elaborate holiday display set up that is free....It's several "scenes" displayed based off a theme...then we take the train back to the mall and window shop, get some cocoa..etc..
Nothing fancy, but the kids love doing this.
They also have a weekly parade that we may try to hit this year..I think it is sponsored byTarget...Holidazzle I think its called. Its several evenings in December.
We also use our zoo pass when we go back to Ohio and go to the light display at the Toledo Zoo with my parents. We get in free with our pass.
And then of course on Christmas Eve, we watch a Christmas Story while setting out the goodies for Santa.
The Holidazzle Parade is fun to see. It used to be nightly from Thanksgiving to Christmas but now I think it is only Thur-Sat or something like that. We combine that trip with the Dayton's (they started it Macy's continued it) 7th floor show.
Your zoo pass might work at the MN Zoo too, they do a holiday light show too.
The Minneapolis Planetarium is also something fun to do around Christmas-they do a special Christmas show. It's too bad the malls don't do their HUGE Christmas shows any longer. One year each of the "Dale's" had a different Disney them tied into "It's a Small World".
We also like to see Tonic Sol Fa's holiday concert. Tickets aren't too bad and the show is really, really good-the kids LOVE it.
Check out any local high schools or colleges for their Christmas concerts-choir, orchestra, etc. Generally they are free or very low cost. St. Olaf in MN puts on an amazing concert that is usually televised on Public TV nationwide.