Hobbits celebrate(d) Yule, so of course so do we. Professor Tolkien's Letters from Father Christmas are perfect. One learns that Father Xmas, as he signs himself sometimes, is the brother of The Green Man and the son of Grandfather Yule. One could argue it's set in a world very much in line with Middle Earth, though in the 1930s onwards.
I very much recommend an edition that reproduces at least most of the original letters, because for some reason the typeset version leaves out some of the best bits! My edition: