So, the federal policy on gifts says:
A judicial officer or employee shall not solicit a contribution from another officer or employee for a gift to an official superior, make a donation as a gift or give a gift to an official superior, or accept a gift from an officer or employee receiving less pay than himself or herself. This paragraph does not prohibit a judicial officer or employee from collecting voluntary contributions for a gift, or making a voluntary gift, to an official
superior for a special occasion such as marriage, anniversary, birthday, retirement, illness, or under other circumstances in which gifts are traditionally given or exchanged.
While I suppose technically you could lump Christmas in as "other circumstances in which gifts are traditionally given or exchanged," I think most judges aren't going to expect anything from their clerks for Christmas; I honestly can't remember what I did, but I'm pretty sure that means I didn't give my judge anything. But you can always ask the JA or a longer-term clerk if there's one around.
(I did go in with my co-clerk on a gift for the state judge I clerked for, in part b/c she was a career clerk who'd worked for him for 10 years and was close to him. She picked it out, though, and he was very generous with us, so nothing to complain about.)