The Polar Express by Chris Van Allsburg is a wonderful holiday book! We do not own it unfortunately, but I let my son listen to it on a youtube video.
3 Dinosaurs has an awesome preschool pack just for The Polar Express.
My son likes to do the number puzzles and then count the numbers once the puzzle is put together.
I made a train track with masking tape on our kitchen floor and my son had a blast pretending to be a train.
Drinking some hot chocolate while you watch the movie is also a fun thing to do!
You can check out what we did in 2011.
The Polar Express also has an official website with activities and recipes.