Most Christmas songs are played in the key of G on the guitar, because every diatonic chord (with the exception of F# diminished, which is rarely used anyway) can be played as open chords, which are the easiest chords to play and the first most beginners learn. Also the tone of open chords plays a big part in the key selection.
You could opt to play any of these songs in A Major by barring the 2nd fret on every chord, but you'll notice that it sounds different. Open chords sound different from barred chords because of the strings vibrating against the nut instead of your finger. With most nuts made of a material harder than flesh (anything from plastic to brass), open chords give a brighter tone.