Does Santa get stoned on 'shrooms?: The psychedelic secrets of Santa Claus. I think the article is a bit fanciful in its analogies. Still, I'm sure there are some legitimate connections in the article. I do know that the changing of people into animals in all those old folk tales has to do with shamanism.
No mention of krampus?
In that spirit, here's part one of the Russian/Finnish classic Morozko, aka Jack Frost (non MST3K version).