According to the Skyrim Lore Calendar, Saturalia is a holiday held on the 25th of Evening Star. It is a time of celebration and gift giving. Want to participate in Saturalia in your Skyrim game? Here are a few mods to get you in the spirit:
Saturalia - Christmas in Skyrim
It's Christmas in Skyrim
There are many more that can be downloaded from the Nexus; I've only listed a few.
Have a wonderful holiday season, no matter what you celebrate.