A cookie exchange sounds fun! I've always wanted to do one! They could bring brownies or muffins if they're not into cookies too. Store bought cookies always welcome too for those who don't bake. Also a great reminder call for the host...did you remember to bring your cookies?
A fun thing I like to do around the holidays is to have everyone bring a stocking. I give them a free recipe card for doing that. It's fun to see all the different kinds. You can even do a contest where the guests have to pick their favorite or who has the biggest, smallest, etc.
It's also a good way to bring up gifts. I always bring along a stocking stuffed with tools. Great for office gift exchanges.
You could also put a santa sticker on some of the invites. Those who bring the santa back get a prize.
If you want a demo and aren't baking at the show, you could do the 2 step fudge with the EAD. Easy enough and then it's a little something extra to add to the exchange.
Hard to believe the holiday season is just around the corner!
Michelle