This is a question I posed to MetaFilter last year and am now revisiting this year. (I was reminded of that question after seeing a recent one about creating Christmas traditions for your nieces and nephews .)
This is, by far, the most favourited comment in that thread:
When I was four, my parents totally rigged a scene where Santa came on Christmas eve, while we were all at church. It had to do with distracting me so that one of them could run back in and throw all the presents under the tree, and I was young enough that I didn’t figure it out for years and finally had to convince my mom to explain how they did it.
So yeah, even though I intellectually understood there was no Santa by the following Christmas, it was really hard for me to give up the last shreds of belief until much later. I probably stopped believing in God before I stopped believing in Santa entirely.
In our family now that I am a parent, Santa brings absolutely absurd and over the top presents that we as parents would clearly never buy, and in fact we are horrified by his excess and his inability to understand our family’s values. My nine-year-old is absolutely convinced Santa couldn’t possibly be us, for this reason, since we are so boring.
We are very, very careful to give fun-but-enriching gifts “from us” to provide even stronger contrast between our gifts and Santa’s. I’m afraid we’re edging into the point where we’ll either have to accept that our kids will grow out of belief, or we’ll have to go Full Puppy.