Dixie Stampede has a great Christmas show. Pricey, but includes dinner. There are lots of shows inside Dollywood that are season specific and the lights in Dollywood, but also Pigeon Forge and Gatlinburg are wonderful.
If you haven't made reservations, Pine Mountain is wonderful. It has an indoor pool and hot tub adjacent to the park. It is wonderful after a long day/evening seeing the sites. They have individual shower rooms that are always clean and warm. It's our pick and we have stayed in most of the leading campgrounds in the area.