According to Wikipedia, "It is a matter of some debate as to which is the first Christmas stamp. The Canadian map stamp of 1898 [shown here] bears an inscription "XMAS 1898", but it was actually issued to mark the inauguration of the Imperial Penny Postage rate. The Christmas connection has long been reported to have been the result of quick thinking; William Mulock was proposing that it be issued on 9 November, to "honor the Prince" (meaning the Prince of Wales), but when Queen Victoria asked "what Prince?" in a displeased manner, Mulock realized the danger, and answered "Why, the Prince of Peace, ma'am".
The entry goes on to say, "In 1937, Austria issued two 'Christmas greeting stamps' featuring a
rose and zodiac signs. In 1939, Brazil issued four semi-postal stamps with designs featuring the three kings and a star, an angel and child, the
Southern Cross and a child, and a mother and child. In 1941 Hungary also issued a semi-postal whose additional fees were to pay for "soldiers' Christmas". The first stamps to depict the Nativity were the Hungary issue of 1943. These were all one-time issues, more like commemorative stamps than regular issues.
"The next Christmas stamps did not appear until 1951, when Cuba issued designs with poinsettias and bells, followed by Haiti (1954), Luxembourg and Spain (1955), then Australia, Korea, and Liechtenstein (1957). In cases such as Australia, the issuance marked the first of what became an annual tradition. Many more nations took up the practice during the 1960s.
"By the 1990s, approximately 160 postal administrations were issuing Christmas stamps, mostly on an annual basis. Islamic countries constitute the largest group of non-participants, although the Palestinian Authority has issued Christmas stamps since 1995."
For more on Christmas stamps, click here