We do... Christmas isn't over until we celebrate the Epiphany. Both my DH and I used to do some sort of family tradition to mark the day as kids and still do now.
My church doesn't, but I make king cake the next day. (For those of you who aren't familiar with king cake, it's a yummy desert they make in New Orleans that you're only supposed to make between the end of Epiphany and Mardi Gras.)