Will list a couple. I must say that not all of them entirely dedicated to NG/Christmas, but nevertheless, these games festive-themed present and feel it.
Batman: Arkham Origins. All the action takes place on Christmas eve with all the consequences: everywhere, decorations, Christmas trees, garlands, thematic dialogues, a night with snow, even some of the tracks from the soundtrack of the give a Christmas style.
Bully. The passage of the storyline will be winter and there starts the Christmas atmosphere: the room hung with garlands, tinsel and other things, people go to themed garments, in General, all as expected (well, in many missions, of course, will need to do the Christmas chores).
Overlord 2. The first part of the game takes place in the North, where year-round to celebrate Christmas and the whole city is decorated in a similar style (like the whole atmosphere, in fact).
Mafia 2. The first third of the game takes place in the winter. Christmas trappings and all that are also present.
Fallout 4. Well, it's probably so many already know, but nonetheless, Boston residents can also celebrate Christmas. To see this, you have to wait out in the game until December 25, then the diamond city hairy Christmas trees / garlands / tinsel / PR, and people will congratulate Christmas.
If we talk about add-ons/add-ons/DLC, you can also a little list:
Borderlands 2: Mercenary Day. Small DLC on the theme of Christmas on Pandora. Walk on a winter field, shoot the evil snowmen and other winter animals in the story help Marcus save Christmas (in the game world named the day of the Mercenary). Along the way, you collect loot from gifts, look for small celebrations and just feel the atmosphere.
Duke Nukem 3D: Nuclear Winter. Supplement devoted to the Christmas winter levels, Christmas monsters and weapons, stuff like that.
Saints Row IV: How the Saints save Christmas. Another thematic addition. Saving Christmas from the evil Santa Claus, catch lulz on a festive theme, walk through the snowy town, give in the ass new year's villain and touched by beautiful, positive ending.
Another worth noting a network/online games, because many of them NG/celebrate Christmas-themed opening event and adding to the game holiday content.
World of Warcraft, Team Fortress 2, Payday 2; GTA Online, Skyforge, Killing Floor, Warframe, ARK: Survival Evolved, Lineage 2 - all these (and many other games with a similar focus) for the time transformed into a Christmas theme in some way: somewhere a thematic mission/level add; where other characters/mobs will acquire a festive look; somewhere design locations will vary; somewhere will be added to the equipment and other loot; where the gifts will be distributed to the players; and even a full-fledged celebration will be who is on that much, in General.
Yes, the list is far from complete and obviously something I've missed, too, where the holiday is celebrated one way or another. Also if anyone knows anything else good on the subject of Christmas / new year holidays - add, too.