One tradition we do every year that is easy to start at your house is an ornament collection. You can make one every year or pick a certain type to get every year. We are a little crazy over Christmas at our house, so we have a few different collections... my mom collects angel ornaments... and if she only gets one new one every year... based on her collection she is really, really old (but, please don't tell her I said that).
My grandma started a collection for me that I call starflakes... they are beautiful ornaments made out of crystal and each year they create a new snowflake shape. I call them starflakes because they sparkle so much and look like snowflakes.
I have always loved trains, so my mom also started collecting train ornaments for me when I was little. She also saves the ones that I make.
Here is one of ours from a few years ago: