We went to see the Christmas lights at Blenheim Palace last night. It's fair to say that I wouldn't normally be jumping to go to this kind of thing but I'm really glad I did.
Yes, it was expensive, but it was very good and worth the money. You get to walk along a trail through the gardens with lots of spectacular scenes linked together - there's always something to be looking at. Don't think Christmas (although that's obviously part of it) but instead think winter lights. Very tastefully done and lots of "wow". From start to finish, it probably took around an hour and a half to complete the walk and it was a shame to leave for home afterwards.