Due to the Law of Conversation of Presents, if Santa gives you something he had to take it from someone else. Fortunately, there are enough teddy bears, trains and bikes to go around so no-one ever really notices this. Until someone's list has an item that only one of the PC's possess. So, Santa drops off the Ring of Sustenance and takes the paladins +3 Flaming Keen Dragon-Bane Longsword.
Robot Santa from Futurama still cracks me up. Someone must do something like this for their cyberpunk game. The idea of this demented full-conversion cyborg who thinks he's Santa, tooling around town and punching holes in 'bad people' with chunks of coal...