This season always seems dark to me. Yes, it's literally dark, but I mean metaphorically, like everyone's hiding something. It feels forced, like the people are gilded.
Maybe it is as simple as the literal darkness; most of our days are spent in darkness this season. And you know how if you're in a room with windows no amount of light inside can make you forget the dark. In fact it seems to emphasize the darkness, and the light seems like a facade.
I don't know if there was a time that I didn't feel the creeping darkness of the season. In high school I did learn to associate Xmas with my parents' divorce and the forced cheer everyone put on, but I don't think that's the root of it. I seem to remember this feeling before that time, like some insidious darkness-creature was trying to gnaw its way out of our bones, hiding behind the ruddy glow of cheerful faces.
Strange thing, but I always remember Christmas songs about love, and [yes, even] the Biblical Christmas story filling me with sorrow, like something was supposed to happen, but didn't.
I like the Roman answer to the season (which not-so-incidentally is why Christmas is on Dec 25th and not when scholars place Jesus' birthday) which is the Feast of Mithras. Mithras was sort of a bestial god (pure, in a primal sense), probably a Roman god of war (who wasn't?) and therefore pretty popular with soldiers. Mithraism (a Roman mystery religion) may have been a semi-serious competitor with early Christianity, so early Christians kind of took over Mithras day. which is the 25th. (Look at the 3rd and 4th paragraph of "Relationship with Christianity")
Actually, now that I think about it, I like this Roman feast day for the same reason I like all of them: it recognizes the humanity of humans. We are all just cultured animals and honoring the warriors is a good way to acknowledge the beast (obviously no offense to any soldiers, but you've got to admit that fighting is not very human in origin).
And beyond the fact that I feel a mysterious sort of visceral sorrow at this season, maybe this season is when we all "get back to basics," in a way. The days are shortening, the weather's getting colder, it's time for the wild things to really get serious about the whole surviving thing. Winter is the ultimate make-or-break scenario: unlike some other life-threat situations, no one can escape winter. Whatever you do, it'll always be there, ready to threaten. So maybe our primal bits recognize the threat (even though that threat is sort of irrelevant for humans now) and make us feel stressed, anxious, and sorrowful.