I'm not religious, but I love Christmas... to me it's all about peace, and renewal, the winter solstice, and the spirit of love, family, giving... *sigh*
Anyways, this might be too religious for you, I don't know. But when I was born I think one of my mom's sisters gave her a teensy naked angel baby ornament. Just a cute ornament with little blonde curls (like me) and angel wings, and that was "my" ornament.
I want to find something similar for this little one. Something baby and beautiful, that means something special, but not necessarily PROCLAIMING "Baby's First Christmas." This seems to be the age of SLOGANS on everything from baby clothes to t-shirts to ornaments to... you name it. Hard to find things WITHOUT slogans now!
So anyways, even if the angel baby idea doesn't work for your family, maybe there is some other special thing that could represent your babies first holiday with you?