They have the Candlelight Processional which is usually the first weekend of December. They have a special guest (movie star) speaker which reads the Nativity Story and have live music. It brings crowds and it is a special ticket if you want a seat.
Other than that there are no specific parties. DL does an awesome job though with decorations, Christmas Fantasy Parade, special holiday fireworks with snow afterwards. IASW and HM both have overlays for Christmas. It's our favorite time of year in the parks and we make our annual visit during this time.