You don't have to spend a fortune to get in the holiday spirit in the Phoenix area. There are plenty of free or very reasonably priced activities, events and festivals. Keep in mind that even if the event is free or cheap, there may be parking fees, or there may be fees for certain activities at the event.
These holiday events take place from mid-November through December 5th and are presented in date order. Find listings for December 6th through the end of the season here. New listings are added almost daily until a week before Christmas, so come back for updates.
All dates, times, prices and offerings are subject to change without notice.
November 10 through December 24, 2012. Photos with Santa, games and activities, and free crafts.
Bass Pro Shops, Mesa.

Arizona Celebration of LightsFriday, November 16, 2012 through Sunday, January 6, 2013. Includes more than 7,000,000 lights and 300 animated and still displays. You stay in your car and drive through it. The organizers boast that it is Arizona's largest display of holiday lights. They estimate that about 15,000 cars pass through the display.
Here is a map. See photos of the Arizona Celebration of Lights.
W ScottsdaleFriday, November 16, 2012 through Sunday, January 6, 2013. CHILL, Scottsdale’s first and only outdoor hybrid ice skating rink, will transform the WET pool deck at W Scottsdale into a winter wonderland. A faux snow machine will produce falling flakes every hour. Twinkling lights and private, decorated cabanas complement the festive atmosphere, with live music performances and DJs scheduled on select weekend evenings throughout the holiday season. Adults and kids aged five and up are welcome to skate (rental available) Monday-Friday 4pm-12am and Saturday-Sunday 12pm-12am. The synthetic ice does not require generators or electricity and is made from a recyclable, eco-friendly polymer compound. The rink feels 10-15% slower than skating on typical refrigerated ice and feels much like skating on a real frozen pond. Check online for detailed schedule (there are a few days that it is closed) and prices.

SanTan VillageFriday, November 16, 2012 through Saturday, December 29, 2012. Horse & carriage rides, snowfall, holiday light show, storytime with Mrs. Claus and live music. Check the schedule online for each day's events.
SanTan Village Shopping Mall, Gilbert.

Outlets at AnthemSaturday, November 17, 2012. A huge tree will be lighted at Outlets at Anthem in a free event, featuring family entertainment at the shopping center. Starts at 5:30 p.m. Stores will stay open late. Anthem.
Saturday, November 17, 2012 at 11 a.m. is when Santa Claus arrives at Metrocenter. Kids under 8 years old can ride with Santa on his Holiday train as he goes to his workshop in the mall. Free. For more information, call 602-997-8991.

Desert Ridge NarketplaceNovember 19 - December 24, 2012. It will snow each night (except for Thanksgiving) at 7 p.m. and 8 p.m. within The District at Desert Ridge Marketplace. Out of thin air, flakes of fluffy white show will float down from the sky, transforming the AMC Fountain and Fireplace into a living show globe. On Saturday, December 8, 2012 from 10 a.m. to 1 p.m. 98.7 The Peak will truck in over 35 tons of man-made snow for families to come out and play (near Sandbar). Giveaways.
Desert Ridge Marketplace, Phoenix.

Westgate City CenterTuesday, November 20, 2012 is the official kick-off to the holiday season at Westgate. Photos with Santa from 5-9 p.m. (there's a charge). Enjoy your favorite holiday music from KEZ 99.9, meet Santa and watch a professional ice skating performance, followed by the lighting of Westgate’s 33-foot holiday tree at 6:30 p.m. Then, at 7 p.m. it will magically snow for the first time this holiday season! Nightly snowfall will take place Tuesday, November 20 through December 24, 2012 (except for Thanksgiving) at 7 p.m. and 8 p.m. Friday, November 23, Saturday, November 24 and Sunday, November 25, 2012 from 11 a.m. to 7 p.m. Enjoy free ice skating for children 5 years and older. Skates are provided. Bring socks! Fountain Park at
Westgate City Center in Glendale.

Judy HeddingThursday, November 22 - Monday, January 9, 2012. Each year the Phoenix Zoo puts up an amazing holiday display of lights. The event is called ZooLights. Because ZooLights happens in the evening, don't expect to see many live animals. This event is about holiday lights, music and lighted animal sculptures.
See Pictures of ZooLights at the Phoenix Zoo