It depends on which type. For classic Christmas songs, my favorite is "Silent Night." For modern Christmas songs, my favorite is "Happy Xmas (War is Over)." I also like "Jingle Bell Rock."

Last Christmas by Taylor Swift, Hilary Duff, Ashley Tisdale
All I want for Christmas by Mariah Carey
Blue Christmas by Kelly Clarkson
White Christmas by Kelly Clarkson
Jingle Bell Rock by Hilary Duff
Where are you Christmas? by Faith Hill (from the How the Grinch stole Christmas soundtrack)
There are a lot of classic Christmas songs that I enjoy listening to as well.