You can make your christmas cookies with a hole in them - then after baking tie a ribbon through the hole and hang them on the tree - delicious and decorative. I did this one Christmas in college when I had an on-campus apartment. and when people come by they can have one as a snack.
My grandparents have these ornaments they made for their first christmas - they are walnuts (whole, in the shell) that are painted and glittered with a loop of ribbon glued on.
You could do a couple of those clove studded oranges - they smell great, and you can hang them in a closet after Christmas, but they're kind of heavy. To make these, tie a 3/4" ribbon around your orange and make a loop at the top. Tack it on in a couple of places with pins. Then start pushing whole cloves through the skin of the orange. Cover all of the exposed orange skin with cloves. After Christmas, make sure it hangs in a dry place, that way the orange will slowly dry out instead of rotting! As it dries it will shrink a little, so you may have to replace the ribbon.
And of course there are always paper chains.