In the scene where Buffy appears in his dream, Angelus has long hair and a mustache.
Oz sits next to Willow, who's set the scene for a seduction. He says "you ever have that dream, where you're in a play and it's the middle of the play and you really don't know your lines, and you kinda don't know the plot?" That is exactly what happens to Willow in the season four finale "Restless", a dream in which Oz has a cameo after having left Sunnydale.
In this episode, Oz refuses to have sex with Willow because he thinks the only reason she wants to is to prove that she cares for him. This is the second time that Oz refuses Willow's offer to take their relationship to the next level, so to speak, because he feels she wants to for the wrong reasons. The first time is in the season 2 episode "Innocence".
Goof: At 22:31, just after Angel bites Buffy, the camera zooms in and the shadow of the camera is visible on his right shoulder, just before Buffy wakes.
If you look closely in the scene with Buffy and Angel walking down the snowy street, as the camera moves over the traffic lights, on the right side of the picture there is a pair of shoes hanging over the wire.
Nitpick: In the credits role at the beginning of this episode, Robia LaMorte is listed as playing Jenny Calendar in this episode. In reality, it was not Jenny she played, but the First taking Jenny's form to torment Angel.
Nitpick: Whenever the First morphs from the image of one person to another, there's a mist floating around it. But nothing like this appears when it does the same thing in Season 7.
During the time Angel was being tortured by visions of his victims from the past, one of the men was dressed in modern clothing talking about how Angelus had arranged his children to look as if they were sleeping. Assuming this isn't a goof, we are left with the conclusion that Angel did this during his short stint in season 2 as Angelus, since he had a soul long before a businessman would have dressed like that.
The First Evil in 7th season is said to be incorporeal, and yet in this episode the First-as-Jenny Calendar very obviously touches Angel, including stroking his hair at one point. While it seems likely that this is a goof, as powerful as the First Evil is, it's not entirely impossible that the First can briefly manifest itself corporeally, much as ghosts are said to be able to.
Goof: The new-fallen snow in the streets of Sunnydale seems to be full of footprints going in all directions, even though Buffy and Angel are apparently the only people awake and walking around at that extremely early hour.
Buffy: (in the library with Xander doing research to help Angel) You sure this is how you wanna spend your Christmas vacation?
Xander: (snarkily) Yeah this is actually the most exciting thing I've got planned. Who else can claim that pathetic a social life?
Willow: (walks in as if on cue, bubbly) Hi guys! What're we doin'?
Angel: It wasn't me.
Jenny: It wasn't you?
Angel: A demon isn't a man. I was a man once.
Jenny: Oh, yes, and what a man you were.
Margaret: A drunken, whoring layabout, and a terrible disappointment to your parents.
Angel: I was young. I never had a chance to...
Jenny: To die of syphilis? You were a worthless being before you were ever a monster.
Angel: Leave me alone.
Jenny: I can't. You won't let me.
Jenny: If you want to feel sorry for someone, you should feel sorry for yourself. Oh, but I guess you've already got that covered.
Giles: Well, we start, not surprisingly, with research.
Xander: We know underground. That's a start.
Buffy: Sure, in a town with fourteen million square miles of sewer.
Xander: Plus a lot of natural cave formations and a gateway to Hell. Yeah, this does resemble square one.
The First: I'm not a demon, little girl. I am something that you can't even conceive. The first evil. Beyond sin. Beyond death. I am the thing that darkness fears. You'll never see me, but I am everywhere. Every being, every thought, every drop of hate.
Buffy: All right, I get it, you're evil. Do we have to chat about it all day?
Angel: I can't do it again Buffy. I can't become a killer.
Buffy: Then fight it.
Angel: It's too hard.
Buffy: Angel, please! You have to get inside.
Angel: It told me to kill you. You were in the dream. You know. It told me to loose my soul with you, and become a monster again.
Buffy: I know what it told you. What does it matter?
Angel: Because I wanted to! Because I want you so badly. I want to take comfort in you, and I know it will cost me my soul. And part of my doesn't care. I'm weak, I've never been anything else. It's not the demon in me that needs killing Buffy. It's the man.
Buffy: What about me? I love you so much... and I tried to make you go away. I killed you and it didn't help. And I hate it. I hate that it's so hard and you can hurt me so much. I know everything that you did because you did it to me. God, I wish that I wished you dead. I don't. I can't.
Joyce: So, angel's on top again?
Joyce: Angel or star?
Oz: You ever have that dream, where you're in a play, and it's the middle of the play and you really don't know your lines, and you kind of don't know the plot?
Willow: Well, we're alone, and we're together. I just wanted it to be special.
Oz: How special are we talking?
Willow: Well, you know, we're alone, and we're both mature younger people, and--and so we could... I'm ready to... with you. We could do that thing.
Angel: What do you want?
Jenny: I want to die in bed surrounded by fat grandchildren, but I guess that's off the menu.
Angel: I'm sorry.
Jenny: You're sorry? For me? Don't bother. I'm dead. I'm over it.
Oz: (To Willow) I miss you. Like, every second. It's like I lost an arm, or worse, a torso.
Xander: Well, I'll be enjoying my annual Christmas-eve camp-out. See, I take my sleeping-bag outside and I go to sleep on the grass.
Buffy: Sounds fun.
Xander: Yeah, I like to look at the stars. You know, feel the whole nature vibe.
Cordelia: I thought you slept outside to avoid your family's drunken Christmas fights.
Xander: Yes, and that was a confidence I was hoping you would share with everyone.
Xander: So, you doing anything special?
Buffy: Tree. Nog. Roast beast. Just me and Mom and hopefully an excess of gifts. (at Willow) What are you doing for Christmas?
Willow: Being Jewish, remember, people? Not everybody worships Santa.
Buffy: I don't wanna bug Giles. He's still kind of twitchy when it comes to the subject of Angel.
Xander: Well, it must be that whole "Angel killed his girlfriend and tortured him" thing. Giles is pretty petty when it comes to stuff like that.
Angel: Buffy, please. Just this once, let me be strong.
Buffy: Strong is fighting. It's hard and it's painful, and it's everyday. It's what we have to do, and we can do it together. But if you're too much of a coward for that, then burn. If I can't convince you that you belong in this world, then I don't know what can. But do not expect me to watch and don't expect me to mourn for you.
The First: You have no idea what you're dealing with.
Buffy: Let me guess. Is it... evil?
Angel: I'm sorry to bother you.
Giles (with a bitter laugh) Sorry. Coming from you that phrase strikes me as rather funny. "Sorry to bother me".
Angel: I need your help.
Giles: (straight-faced) And the funny keeps on coming.
(Willow blows off one of Cordelia's narcissistic rants)
Xander: That's the Christmas Spirit!
Willow: Hello, still Jewish!
Buffy: Angel, you have the power to do real good, to make amends. But if you die now, then all that you ever were was a monster.
This marks the first time it has ever snowed in Sunnydale.
Joss Whedon has admitted that the camera going over the word 'Pray' on the Sun Cinema board was unintentional.
In this episode, Robia La Morte is referenced by character name in the guest credits ("Robia La Morte as Jenny Calendar").
This episode marks the first "appearance" of the First Evil.
In the last scene, where Buffy and Angel are walking through the street, it starts with a close up on the inside of the U on the Sunnydale theater sign. This is where Faith is when she shoots Angel on the street in "Graduation Day Part One".
Robia LaMorte is a devout Christian, which is why doing this episode bothered her. In interviews she has voiced a displeasure in playing roles that could be perceived as glorifying evil (which is contrary to her beliefs), and was concerned that her portayal of the First Evil might be seen as just that.
According to interviews, Robia LaMorte was ecstatic when asked to revive her character, but was disappionted to learn that in this episode, 'Jenny Calendar' was actually the human incarnate of an evil spirit.
The weatherman at the end of the episode is Mark Kriski, an actual weatherman for KTLA's morning news. For those outside of LA, KTLA is the LA affiliate of the WB Network.
The "Grr-Arg" at the end of the credits (the Mutant Enemy slogan) was altered in this episode. The monster sported a Santa cap and bells are jingling in the background.
When this episode first aired, it was billed as "A Buffy Christmas".
The First: Dead by Sunrise.
This is no doubt an homage to the Evil Dead films, in which the undead walk the earth but are "Dead by Dawn". This line is repeated throughout the first two films by particularly unpleasant members of the undead, in a very similar manner to the First's utterance of "Dead by Sunrise" as it disappears.
Buffy: Tree. Nog. Roast Beast.
A reference to How The Grinch Stole Christmas by Dr. Suess in which Roast Beast was the traditional Christmas dinner of the Whos. The phrase has become a popular playful way to refer to roast beef.