Like many traditions, the origins of the Christmas cookie giving dates back to Medieval times when spices where introduced in Europe from the Far East and later the New World.
The first Christmas cookies per sé come from northern Europe like the lebkuchen in Germany, pepparkakor in Sweden, and the krumkake in Norway. Today, you can find variations to this traditional recipes in many book and specialty store.
In the US the tradition grew when the Dutch arrived bringing with them not just their traditions, but also their utensils that included cookie cutters. These cutters where in the shape of elaborate shape allusive to Christmas and then the cookies were used to decorate the trees.
Today, there are many books and website dedicated to Christmas cookies and many of them relat the traditions and origins about that cookie in particular. If you have any recipe or tradition, I'd love to hear from you and I'm sure everyone else...
Have a great day!