The first Christmas as written in the Bible was the time when Jesus and Mary gave birth to Jesus Christ in a manger in Bethlehem. Jesus' parents went to Nazareth to register for a census being held by the king. The couple tried to find an inn that night but they were very unlucky because all the inns were full. Mary about to give birth and not an inn available, Joseph decided to stay in a manger. So that begins the first Christmas.
According to Wikipedia a more detailed history of Christmas follows...
A winter festival was traditionally the most popular festival of the year in many cultures. Reasons included less agricultural work needing to be done during the winter, as well as people expecting longer days and shorter nights after the winter solstice in the Northern Hemisphere. In part, the Christmas celebration was created by the early Church in order to entice pagan Romans to convert to Christianity without losing their own winter celebrations. Certain prominent gods and goddesses of other religions in the region had their birthdays celebrated on December 25, including Ishtar, Sol Invictus and Mithras. Various traditions are considered to have been syncretised from winter festivals including the following:
In Roman times, the best-known winter festival was Saturnalia, which was popular throughout Italy. Saturnalia was a time of general relaxation, feasting, merry-making, and a cessation of formal rules. It included the making and giving of small presents (Saturnalia et Sigillaricia), including small dolls for children and candles for adults. During Saturnalia, business was postponed and even slaves feasted. There was drinking, gambling, and singing, and even public nudity. It was the "best of days," according to the poet Catullus. Saturnalia honored the god Saturn and began on December 17. The festival gradually lengthened until the late Republican period, when it was seven days (December 17–24). In imperial times, Saturnalia was shortened to five days.
Natalis Solis Invicti
Alleged representation of Christ in the form of the sun-god Helios or Sol Invictus riding in his chariot. Third century mosaic of the Vatican grottoes under St. Peter's Basilica, on the ceiling of the tomb of the Julii.
The Romans held a festival on December 25 called Dies Natalis Solis Invicti, "the birthday of the unconquered sun." The use of the title Sol Invictus allowed several solar deities to be worshipped collectively, including Elah-Gabal, a Syrian sun god; Sol, the god of Emperor Aurelian (AD 270–274); and Mithras, a soldiers' god of Persian origin. Emperor Elagabalus (218–222) introduced the festival, and it reached the height of its popularity under Aurelian, who promoted it as an empire-wide holiday.
December 25 was also considered to be the date of the winter solstice, which the Romans called bruma. It was therefore the day the Sun proved itself to be "unconquered" despite the shortening of daylight hours. (When Julius Caesar introduced the Julian Calendar in 45 BC, December 25 was approximately the date of the solstice. In modern times, the solstice falls on December 21 or 22.) The Sol Invictus festival has a "strong claim on the responsibility" for the date of Christmas, according to the Catholic Encyclopedia. Several early Christian writers connected the rebirth of the sun to the birth of Jesus "O, how wonderfully acted Providence that on that day on which that Sun was born . . . Christ should be born", Cyprian wrote.
Pagan Scandinavia celebrated a winter festival called Yule, held in the late December to early January period. Yule logs were lit to honor Thor, the god of thunder, with the belief that each spark from the fire represented a new pig or calf that would be born during the coming year. Feasting would continue until the log burned out, which could take as many as twelve days. In pagan Germania (not to be confused with Germany), the equivalent holiday was the mid-winter night which was followed by 12 "wild nights", filled with eating, drinking and partying. As Northern Europe was the last part to Christianize, its pagan celebrations had a major influence on Christmas. Scandinavians still call Christmas Jul. In English, the Germanic word Yule is synonymous with Christmas, a usage first recorded in 900.
It is unknown exactly when or why December 25 became associated with Christ's birth. The New Testament does not give a specific date. Tertullian does not mention it as a major feast day in the Church of Roman Africa. In 245, the theologian Origen denounced the idea of celebrating Christ's birthday "as if he were a king pharaoh". He contended that only sinners, not saints, celebrated their birthdays.Sextus Julius Africanus popularized the idea that Christ was born on December 25 in his Chronographiai, a reference book for Christians written in AD 221. This date is nine months after the traditional date of the Incarnation (March 25), now celebrated as the Feast of the Annunciation. March 25 was considered to be the date of the vernal equinox and therefore the creation of Adam; early Christians believed this was also the date Christ was crucified. The Christian idea that Christ was conceived on the same date that he died on the cross is consistent with a Jewish belief that a prophet lived an integral number of years. Thus, the date as a birthdate for Christ is traditional, and is not considered to be his actual date of birth.
Although the identification of the birth date of Christ is debated, liturgical celebrations of the Nativity were celebrated from at least A.D. 200 in the Christian East. The earliest reference is found in St. Clement of Alexandria's writings in reference to a celebration of the Nativity and the Epiphany.  Another reference is found in the Chronography of 354, an illuminated manuscript compiled in Rome in 354. In the East, early Christians celebrated the birth of Christ as part of Epiphany (January 6), although this festival focused on the baptism of Jesus.
Christmas was promoted in the Christian East as part of the revival of Catholicism following the death of the pro-Arian Emperor Valens at the Battle of Adrianople in 378. The feast was introduced to Constantinople in 379, and to Antioch in about 380. The feast disappeared after Gregory of Nazianzus resigned as bishop in 381, although it was reintroduced by John Chrysostom in about 400. The Twelve Days of Christmas are the twelve days from Christmas Day to the Feast of Epiphany on January 6 that encompass the major feasts surrounding the birth of Christ. In the Latin Rite, one week after Christmas Day January 1 has traditionally been the celebration the Feast of the Naming and Circumcision of Christ, but since Vatican II, this feast has been celebrated as the Solemnity of Mary, Mother of God. The Roman Emperor Constantine deliberately made Christian festivals such as Christmas to coincide with Roman pagan holidays, such as the birth of the sun god to try to spread Christianity, according to Andrea Carandini, a professor of archaeology at Rome's La Sapienza University.
Constantine I became the first Christian Roman emperor on October 28, 312 AD; he had worshiped the son God Helios. On the eve of a battle against a rival Maxentius, Constantine had a dream in which he was told to inscribe the letters XP (the first two letters of Christ in Greek, also known as Chi Rho) on his soldiers' shields. During the conflict against Maxentius, possibly at the Battle of the Milvian Bridge, he saw the words "with this sign you shalt conquer" with a cross in the sun. He won the battle and converted to Christianity. There are numerous reasons why Constantine may have chosen the date of December 25th to celebrate Christmas. On that date also was celebrated the birth of Mithras, the Persian god of light. Also, the pagan god Saturn, one of the chief gods of the Roman pantheon, was worshiped on December 17th. Giving presents was also similar to many Roman and Persian holidays. [http://www.allaboutjesuschrist.org/emperor-constantine-faq.htm]
In the Early Middle Ages, Christmas Day was overshadowed by Epiphany, which in the west focused on the visit of the magi. But the Medieval calendar was dominated by Christmas-related holidays. The forty days before Christmas became the "forty days of St. Martin" (which began on November 11, the feast of St. Martin of Tours), now known as Advent. In Italy, former Saturnalian traditions were attached to Advent. Around the 12th century, these traditions transferred again to the Twelve Days of Christmas (December 25 – January 5); a time that appears in the liturgical calendars as Christmastide or Twelve Holy Days. The prominence of Christmas Day increased gradually after Charlemagne was crowned on Christmas Day in 800. King William I of England was crowned on Christmas Day 1066. Christmas during the Middle Ages remained a public festival, incorporating ivy, holly, and other evergreens, as well as gift-giving.
Christmas gift-giving during the Middle Ages was practiced more often between people with legal relationships (i.e. tenant and landlord) than between close friends and relatives. By the High Middle Ages, the holiday had become so prominent that chroniclers routinely noted where various magnates celebrated Christmas. King Richard II of England hosted a Christmas feast in 1377 at which twenty-eight oxen and three hundred sheep were eaten. The Yule boar was a common feature of medieval Christmas feasts. Caroling also became popular, and was originally a group of dancers who sang. The group was composed of a lead singer and a ring of dancers that provided the chorus. Various writers of the time condemned caroling as lewd, indicating that the unruly traditions of Saturnalia and Yule may have continued in this form."Misrule" — drunkenness, promiscuity, gambling — was also an important aspect of the festival. In England, gifts were exchanged on New Year's Day, and there was special Christmas ale.
From the Reformation into the 1800s
During the Reformation, some Protestants condemned Christmas celebration as "trappings of popery" and the "rags of the Beast". The Roman Catholic Church responded by promoting the festival in an even more religiously oriented form. Following the Parliamentary victory over King Charles I during the English Civil War, England's Puritan rulers banned Christmas, in 1647. Pro-Christmas rioting broke out in several cities, and for several weeks Canterbury was controlled by the rioters, who decorated doorways with holly and shouted royalist slogans.
The Restoration of 1660 ended the ban, but many of the Nonconformist clergy still disapproved of Christmas celebrations, using Puritan arguments. In Colonial America, the Puritans of New England disapproved of Christmas; its celebration was outlawed in Boston from 1659 to 1681. At the same time, Christian residents of Virginia and New York observed the holiday freely. Christmas fell out of favor in the United States after the American Revolution, when it was considered an English custom. By the 1820s, sectarian tension in England had eased and British writers began to worry that Christmas was dying out. They imagined Tudor Christmas as a time of heartfelt celebration, and efforts were made to revive the holiday. Charles Dickens' book A Christmas Carol, published in 1843, played a major role in reinventing Christmas as a holiday emphasizing family, goodwill, and compassion over communal celebration and hedonistic excess.
Interest in Christmas in America was revived in the 1820s by several short stories by Washington Irving appearing in his The Sketch Book of Geoffrey Crayon and "Old Christmas", and by Clement Clarke Moore's 1822 poem A Visit From St. Nicholas (popularly known by its first line: Twas the Night Before Christmas). Irving's stories depicted harmonious warm-hearted holiday traditions he claimed to have observed in England. Although some argue that Irving invented the traditions he describes, they were widely imitated by his American readers. The poem A Visit from Saint Nicholas popularized the tradition of exchanging gifts and seasonal Christmas shopping began to assume economic importance. In her 1850 book "The First Christmas in New England", Harriet Beecher Stowe includes a character who complains that the true meaning of Christmas was lost in a shopping spree. Christmas was declared a United States Federal holiday in 1870, signed into law by President Ulysses S. Grant.
Christmas. (2007, December 25). In Wikipedia, The Free Encyclopedia. Retrieved 05:08, December 25, 2007, from http://en.wikipedia.org/w/index.php?title=Christmas&oldid=180064795