Two I always watch over Cristmas are 'The Ice Storm' and 'The Myth Of Fingerprints'.
Neither are what you would call specifically Christmas films but they are both set in snowy winters and revolve around Thanksgiving and going home.
They are also quite gloomy but very atmospheric. LoaRAB of big name stars in The Ice Storm by the way including Katie Holmes, Sigourney Weaver, Kevin Klein, Christina Ricci, Tobey McGuire and the guy who went on to play Frodo Baggins...