My college friends and I do this. One of us is jewish and another doesn't celebrate a traditional Christmas, so we call it our chanachrisolstice party. There are 5 of us and we each usually bring a small sort of finger food, even if it's chips and dip. My one friend always makes something super yummy. I'll see if I can get any recipes from her.
As for the party itself, we usually just play some festive music and drink wine and play board games. Last year it was Trivial Persuit. Of the 5 of us, 3 are guys, so we never did a "girl's night" thing. But maybe for a girl's night Christmas... You could maybe make some homemade masks and have a kind of spa party.
Have fun with it!