One of my favorite childhood Christmas memories is the Advent box. Inside there was a box to open each day before Christmas; each box contained a small toy or object and a slip of paper with a related devotional. This is perfect for the preschool age, for whom the primary excitement about Christmas is the opening, regardless of what is inside. Around here, the grownups are very, very tired by bedtime and for anything beyond teeth-brushing and pajamas to happen, the energy has to come from the kids.
I don't know where my mother got the original idea--out of some Christian magazine, I presume. Over time I decided I disliked the specific devotionals we used, as they had no coherent organizing principle. I hate random sequences of Nice Thoughts, which is why I never read devotional books. But I loved the excitement of the new box to open every night.
So I wrote my own, naturally. Mine is organized by first going through key Old Testament stories chronologically, bringing out the portion that foreshadows Christ. Then it looks at specific prophecies, and in the final week before Christmas reads through the Christmas story in short sections. To make it even easier to get through on the spot, I even copied in most of the scriptures. (Although they're in KJV because we like the way it sounds read aloud, but others might prefer a more modern translation.)
We did this first two years ago, but I didn't have it all prepared in advance and didn't have enough small boxes, so I sort of recycled the boxes through and they never got the excitement of seeing the Whole Thing together at once. It wasn't prepared enough to use at all last year. This year I'm down to locating two more objects into boxes and we're done, and then it should be easy to use for all subsequent years. Little jewelry and chocolate boxes are the best, as they look decorative without needing to be wrapped. If you wrap the whole big box in pretty paper, it can sit under the tree and look festive and stay handy all month long.
For those with older children, Mama Squirrel has put up a very intriguing looking Advent Calendar using Advent as a time of spiritual preparation.