I do something a little different, we have a family craft night where we make our own ornaments each year. We've made foam nutcrackers, cinnamon snowflakes, beaded candy canes, etc. We put our name and the year somewhere on each one. When my kids are grown and gone, they will have a collection of ornaments they've made over the years to decorate their own trees with. I have ornaments that my mother and grandmother made when my mom was a child.
One year we did one that turned out so disastrously, it's become comic legend in our family! Let's just say glue and glitter were involved, and I was worried that Bart Simpson would make a huge mess, but it turned out that Homer was the one I had to worry about!