Thank you and Merry Christmas,
You can definitely bake something Paleo. While I wouldn't suggest baking goodies on a daily basis, I think having the option of a treat that is still made with Paleo friendly ingredients makes the Paleo lifestyle that much more doable for those who might be skeptics.
I'd suggest choosing a seasonally appropriate theme and deconstructing it, then using the flavors and colors to make up your own concoction, or choosing a recipe that you may already have and Paleo-izing it!
For example, you could grind almonds and pecans coarsely, add cinnamon, mix in some honey, press into a lined glass baking dish, refrigerate to let harden then top with a puree of pumpkin (also mixed with a little honey and some egg), then baking until firm and cutting into squares. Package in mini, foil cup-cake wrappers. (If you have extra pumpkin left after baking it, and you want a dessert you can serve when entertaining at home, you can make a Paleo Pumkpin Trifle: layer ground, raw cacao nibs, with the same pumpkin-honey puree and fresh coconut cream- the last of which is always rather decadent!
You could also try my Paleo Truffle Recipe- always a hit.
Finally, and this is my favorite, always, play around with seasonally popular fruits like apple, pear, cranberry, and spices, like cinnamon, nutmeg, ginger and clove, and nuts.. and see what you make up!
Feel free to share if you come up with something interesting; I'm sure many other readers have the same conundrum!