As in Spain, Christmas in Mallorca (Majorca) is celebrated in the traditional spanish style, combining the strong Mallorcan culture with the deep rooted Catholic tradition.
There are many things to do in Mallorca during Christmas time other than shopping in Palma (but yes, shopping is also in Mallorca one of the most traditional things to do before and during Christmas).
In the early December, Palma de Mallorca streets become illuminated by the Christmas lights which in someway is the start point for the Christmas period.
As soon as they are switched on, the city starts with its traditional Christmas Markets like the one at the Plaza Mayor or the one at the Plaza de España, both of them lasting untill the Three Kings day (the 5thof January). There you'll find many goods and everything you could need to set up your own nativity scene. Also, one day Christmas markets are also being held on the Pueblo Español and Puerto Portals during the early December.
Nativities Scenes can be seen in many places and are a must see for both locals and visitors. The most famous ones can be found at the Iglesia de la Sang church, the Palau March (next to Palma's Council square and the main shopping area), the chapel of the Sagrat Cor at the Basílica de Sant Francesc, the Palma's Town Hall and the Caputxines convent, among many others.
On the 24thof December, Christmas Eve, everyone will be at home until late night, enjoying the night with its family. After that, many will go out for a late drink while many others will be at the magnificent cathedral (or the village's main church) for the Midnight Mass Service, also known in Spain as the Misa del Gallo. The service will be opening its doors at 23:00, but you can also call +34 971 72 31 30 for further information.
The 25^th, Christmas day, people used to lunch at home but from years ago people is using to eat out, so it is really recommended to book in advance if you are planning to go to a restaurant, as all of them will be fully booked. For the rest of the day, people uses to be at home and nearly everything is closed (a big and general hang over is the main cause, if you want to know).
While December the 26th is a normal day all around Spain, it is not in Mallorca, where we have the Segona Festa de Nadal (Christmas Second Party). This is just a local festivities remaining from the old times (when it used to be more celebrated) and is a bank holiday day keep, so you should keep in mind that during the 26th all shops and the like will be closed.
December the 28th is the Spanish April Fools day and while now is not really celebrated you can still be the target of jokes. A tip: stay away if you can, as Spanish jokes are usually stronger and ruder than in other countries.
New Year's Eve is celebrated all along the island and the streets are empty up to 24:00. At this time the Plaza de Cort (the Town Hall Square) will be full of people ready to celebrate the begining of the New Year with the traditional spanish twelve grapes. A great tip for that event: be patient and wait for the right bells sound. First, you will hear a quick bells playing but those are the called "cuartos". Wait until these are finished and you'll hear the big ones, which are the ones you have to use to eat the grapes.
After that, get ready to go out and leave you rental car parked if you want to be safe. Also, keep in mind that is nearly impossible to get a taxi during that night, so make your plans in advance.
Finally, and to end the Christmas time, on January the 5th is the Three Kings Night, the equivalent of Santa Claus in Spain, when children receive their main Christmas gifts. While due to the influence of foreign people and traditions the most of the people uses to give their gifts during the 24thand the 25thof December, the Three Kings Night arrival is still celebrated all over Spain with elaborate parades. In Palma, you can see them arriving by boat at the Palma's bay at about 17:30 and start their way along Palma's streets.