The Sopranos
A full list of special holiday episodes
An emotionally conflicted New Jersey mob boss seeks therapy to cope with his personal and professional struggles.
The show aired 2 Christmas episodes, and 1 Thanksgiving episode.
Christmas episodes:

Season 3, Episode 10
To Save Us All from Satan's Power
Tony experiences flashbacks of Pussy's betrayal and grows concerned about Jackie Jr.'s failure to meet his responsibilities.

Season 6, Episode 12
Kaisha
Tony and Phil clash, resulting in Phil's hospitalization. Meanwhile, Tony and Christopher find themselves romantically involved with the same woman.
Thanksgiving episodes:

Season 3, Episode 8
He Is Risen
Tony and Ralphie's animosity intensifies until they are forced to confront each other. Meadow starts dating Jackie's son and finds herself in a dangerous situation.