Almost one year ago, I wrote an entry on this type of publication; I have now found more examples of this literary genre. But first, here is a very informative entry on annuals from, of all places, The Encyclopedia of Fantasy.
Please peruse the following titles: The Garland, or Token of Friendship; Leaflets of Memory (with colored “illuminations”, one of the first annuals to do so); The Token: A Christmas and New Years Present (title varies); The Gift (the 1845 volume has a story from Edgar Allan Poe); The Keepsake; and All Year Round (edited by Charles Dickens).
These anthologies were just that – an accumulation of wide-ranging stories; however, there is a special published volume that contains only Christmas-themed writings from All Year Round and Household Words (this also edited by Dickens) – Christmas stories from Household words and All the year round.