There were some interesting parallels between Santa Claus and Odin that I have read on Wikipedia; they both appear wearing a cloak, drooping hat, and a great beard; Santa has his reindeer and Odin has Sleipnir. I suppose in some respects, Santa could be a sort of "anti-psychopomp," as he allegedly flies through the sky accompanied by his reindeer in a joyful rendition of the ominous Wild Hunt. However, I'm not sure how recently the reindeer-driven sleigh was added to the lore of Santa; either way, from a folkloric standpoint, it is a plausible addition.
Now, a Christmas figure that has intrigued me for a while is Krampus, the satyr-like imp that accompanies Santa and administers cudgelling to naughty children....