All the holiday shows run on weekends. The Christmas shows include a Shamu night show called "Miracles" a Sealion and Otter Christmas show called "Clyde and Seamore countdown to Christmas" a Sesame Street show called "Elmo's Christmas", an Ice Skating night show called "Winter Winderland on Ice", and a fireworks show called "Holiday Reflections" Last year, the shows offered any day of the week were the Shamu night show and Sealion and Otter night show. The Elmo show, ice skating show and fireworks show were only performed on weekends (Friday, Saturday and Sunday) as well as all week before and after Christmas. Basically any day with an 11:00pm closing, you will get everything. Any day with a 6:00 closing, you will only get the Shamu and Sealion shows.
Other fun Christmas experiences include, "Polar Express Experience" Which is a motion simulator set to scenes from the popular movie. This is normally where the "Wild Arctic" ride is, but the ride is redone for the Christmas season to become the Polar Express Experience. This ride is opened everyday from mid November to New Years day. Regardless of the park closing time. There is a ton of decor and 60+ Christmas trees in a lake that light up to holiday music.
Heres a video for more:
http://www.youtube.com/watch?v=Z545-puLnWc