My comments, by segment:
Bart's: Very funny, the best of the bunch. Loved the train working with pot, the pirate bears, and the ending line, by Otto: "Did you ever want a train for xmas? You have one now!" and jumps off.
Lisa's: Funny, my second favourite. Loved the idea of Marge going to war and Homer staying, the MIA joke and Marge killing Hitler (and Hilter taking his moustache off and putting it on a random guy and saying HE'S Hitler LOL).
Marge's: The weakest of the special, but had some good jokes, like the mail van crashing and the breakfast in bed....for you to make!
Maggie's: My third favourite, liked the 4th wall breakings (Moe: "Get that thing off me!!!" - real hand takes phone), the budget being blown on Katy Perry and the innuendo on the credits.
Overall: Good episode. I liked how each dream dealt with a problem each character had after sleeping (Marge - house decorations, Lisa - the tree, Bart - killing Santa, and Maggie - the Flupets DVD [I HATE BAD PUNS!! Can't they say muppet?]). 7.9/10