Of recent films, I like Millions a lot.
I loved A Christmas Story waaaaaaaaaaaay back before it became a TNT marathon.
Scrooged still makes me laugh, especially the first half-hour - but it's like everyone suddenly realized they were making a Christmas movie at the end of filming, so the cheesy ending feels very last-minute tacked-on.
I still maintain It's a Wonderful Life is more dark fantasy than melodrama. It's a really dark film up until the last few minutes, and even then the main villain gets away with his petty crime. I once read an interesting article that took the position that George Bailey really does commit suicide, and the entirety of the movie is just the fleeting thoughts which might pass through a dying man's last moments. If you watch the movie with that theory in mind, it certainly takes on a different tone.
EDIT: Oh, yeah, Gremlins is great, and shocked a lot of parents back then.
I have a lot of favorite Christmas movies.