That's what my kids are busy doing now. Not just oranges, of course, but any citrus fruit I could find in town. I think its called "making pomanders". Smells really great. Some of them actually dry for ever like this.
Also on the picture: crepe paper garlands similar to ones my mother taught me to make back in Russia: cut two long stripes of differently colored crepe papers, put slightly narrower one on top and sew them together (better using sewing machine). Then cut the edges carefully with scissors every centimeter or so making sure you won't cut the thread. Fluff it a bit and its ready to be hang across the room. We used to do them from four corners to the lamp shade (making sure they won't get too hot to catch fire) and I had a real jungle for the New Year celebration.
There also some last year's paper chains kids made and the charity shop tinsel.
A great way to recycle numerous kids drawings (I do photographs of the good ones first) is to make paper snowflakes out of them and stick with blue tack on the windows. Its a double recycling, as the kids draw on the paper my husband used at work for printing on one side...
We bought a nice tall Noble Fir Christmas Tree form a local grower who kindly delivered it to our door. This kind of tree doesn't drop needles EVER.
Speaking of citrus fruit, almost every time I peel one, I put the peel in a potpourri bowl. Also you can try putting some of it in the hot oven or working microwave oven just for few minutes (make sure it won't burn) to release the aroma.
Another seasonal fun my kids found is listening to all kind of Christmas music on Last.fm and from my Russian, Ukrainian, European medieval, English, French, African and Philippine collection.