I think its hard to put out a full Christmas album that's actually good. There are exceptions-- the Aimee Mann and Chris Isaak albums are quite good-- but they are the exceptions that prove the rule.
One album that I like to promote is an independent record put out by a bunch of Christian musicians (I know, I know-- again, the exception that proves the rule) called, unimaginatively enough, Noel. Its an ensemble record featuring a bunch of singers that most people wouldn't know, well Buddy and Julie Miller are fairly well-known, but that's it, but the arrangements are both respectful and interesting, the selection of carols is great with some familiars ("Away in the Manger," "What Child is This," "O Holy Night") among lesser knowns ("Bring A Torch, Jeannette Isabella," "The Carol of the Birds," "In the Bleak Mid-Winter"), and nearly all of the performances are outstanding. So, if you can get past the usual dreck that is Christian music, and actually find the darn album, its well worth the effort.
Like others, I'm a fan of downloading individual songs and making Christmas mix CDs, also to counter the Applebee's Christmas music.
Here's a few of my favorites:
1) "Rudy" - Be-Good Tonyas
2) "To Heck With Ol' Santa Claus"- Lorretta Lynn
3) "I Want An Alien For Christmas"- Fountains of Wayne
4) "Merry Christmas, I Don't Want to Fight Tonight"- Ramones
5) "Merry Christmas From the Family"- Robert Earl Keen
6) "Nothin' But A Child"- Steve Earle
7) "Christmas Presents"- Joe Tex
"Santa! Don't Pass Me By"- Freddie Fender
9) "Hoo-Ray for Santa Claus (Theme from Santa Claus vs. The Martians)" - Sloppy Seconds
10) "What Christmas Means To Me"- Stevie Wonder (The Gap can try to steal this one all they want, its still a great song).
11) Christmas Tears- Freddie King
12) "Christmas, Baby Please Come Home"- U2 (Death Cab does a passable version as well)
13) "Merry X-Mas (War is Over)"- The Polyphonic Spree (the John Holt reggae version is excellent, too)
14) "Santa Bring My Baby Back to Me"- Rev. Horton Heat
15) "Blues for Christmas"- John Lee Hooker
16) "I Saw Mommy Kissin' Santa Claus"- John Mellencamp (I have as much hatred for ol' Cougar as the next guy, but he does a fantastic version of this song)
17) "Louisiana Christmas"- Aaron Neville
18) "Listen to the Angel"- Moby
19) "I'm Gettin' Nuthin' For Christmas"- Less Than Jake
20) "On To Bethlehem"- Vigilantes of Love
That's all I've got off the top of my head. I know I'll think of more as soon as I log off.