* Harry Potter and the Sorcerer's Stone: At the Dursleys' house in Privet Drive.
* Harry Potter and the Chamber of Secrets: At Hogwarts, having been invited by Ron to spend Christmas with his family.
* Harry Potter and the Prisoner of Azkaban: At Hogwarts, with the rest of the students.
* Harry Potter and the Goblet of Fire: At Hogwarts, with the rest of the students.
* Harry Potter and the Order of the Phoenix: At Hogwarts, with the rest of the students, though things are very tense due to Umbridge's reign.
* Harry Potter and the Half-Blood Prince: At Hogwarts, with the rest of the students.
* Harry Potter and the Deathly Hallows: At Shell Cottage, with Ron's family and Hermione.
While Harry doesn't spend Christmas at the Dursleys' in the later books, it's implied that he's still obligated to spend the holiday with them as long as he's considered their ward. However, he is able to escape the unpleasantness of Christmas with the Dursleys by being invited by Ron's family in the second book and by being a student at Hogwarts in the subsequent books.