I made a few Christmas hair clips a few weeks back . . .
Korker Bow - a great tutorial found on Pink Tea
Candy Cane - I drew and cut out a candy cane from red felt and then used embroidery floss to add the white stripes. Then I used red thread to stitch a 2nd red felt candy cane around the edges to the back to give some stability. And then I glued it to an alligator clip I had covered in ribbon.