Definately felt the same the first year. It was great decorating the place and having our own tree, ect, but it was my first home away from my parents house and somehow it felt odd to not stay the night Christmas Eve at my parents place. It was a warm, green Christmas that year I think too, so it was harder to get into the spirit.
Now, it wouldn't feel right staying any where else, this being our 6th Christmas at our place. The first Christmas is sometimes the weirdest, but I agree with a lot of people - The closer it gets, the better it will feel