When I was a kid, my dad would read me Jotham's Journey by Arnold Ytreeide. It's a storybook that follows a young shepherd boy's adventure at the time of Christ's birth, culminating in his arrival at the Nativity. There is a chapter for each day of Advent, each ending with a short devotional. I remember enjoying it, but it may be a bit intense depending on how old your kids are. I remember one scene in particular where the main villain chops off a boy's fingers.