Jehovah's Witnesses don't celebrate Christmas because of the pagan origins of many of our current customs. They cover this in several articles on their site. A search of their site returns many. They also reject several other holidays, citing similar reasons.
Several other denominations have similar beliefs, and even within denominations that largely celebrate holidays, there are those with personal convictions about various aspects of holidays and refuse to celebrate to one degree or another. It's not always a traditional boundary, since most denominations agree that Christianity isn't about rules and regulations, but rather about a relationship with Christ, and His saving grace.
Using a couple of personal examples, I come from a Baptist Church, and most of us celebrate Christmas, have Christmas trees, etc. However, there are some in my own Church that refuse to have the trees. I personally don't like telling the kids about Santa Claus because I don't want them questioning whether they can trust me to tell the truth.
Note, that last paragraph was included as an example of personal convictions, not an endorsement or indictment of any person's choice to celebrate in whatever way they see fit.