In Sweden we call Christmas jul, or yule as it’s spelled in English. Yule was originally a midwinter festival celebrated by Germanic peoples of northern Europe, but later became absorbed into Christmas and is now basically equated with it (though few Swedes celebrate or even think of jul as a religious holiday). There are still many differences between jul and Christmas though, the most notable one being that our version of Santa (called tomten) comes to your house on Christmas Eve (julafton) and hands you presents in person. There’s no sleigh, no reindeer, no North Pole and no elves making toys.
I’ll end it there, but follow the links if you want to know more. Oh, and last but not least, if you want to say Merry Christmas in Swedish you say God jul! (god is pronounced with a long o, like good).