Scott DeWar
Prof. Emeritus-Supernatural Events/Countermeasure
My favorite idea that I've never used is presenting (ha) Santa and his elves as a band of dark fey. Rather than leaving toys for the kids, they snatch kids to the "other side" of the fey world where they become "dark elves" who slave in a twisted version of Santa's Workshop.
The PC's would possibly try and hunt Santa, follow/track thim through the mists into his crazy alternate plane and try to rescue someone. Tweak the scary/fun factor as you see fit.
Santa:
http://www.d20pfsrd.com/bestiary/monster-listings/fey/redcap
chief elf, or alt, pack leader of a hunt:
http://www.d20pfsrd.com/bestiary/monster-listings/fey/woodwose-tohc
the hunting pack:
http://www.d20pfsrd.com/bestiary/monster-listings/fey/grimstalker
http://www.d20pfsrd.com/bestiary/monster-listings/fey/spring-heeled-jack
http://www.d20pfsrd.com/bestiary/monster-listings/fey/twigjack
dark enough for you?