I just realized that the link I gave you regarding the Jesse Tree was an old link, and not very helpful. Anyway, I got so many private e-mails on the subject, I thought I'd spend a little more time telling you how we did this.
First, the name "Jesse Tree" comes from Isaiah 11:1-2
A shoot will come up from the stump of Jesse;
from his roots a Branch will bear fruit.
The Spirit of the LORD will rest on him—
the Spirit of wisdom and of understanding,
the Spirit of counsel and of power,
the Spirit of knowledge and of the fear of the LORD -
The idea, of course, is that Christ came from the "stump of Jesse" (Jesse's "tree", get it?), and all of the Old Testament points toward the coming of Christ as Messiah.
You will find on-line several different collections of devotionals; many have been written over the years. Do an Amazon search on Jesse Tree for some ideas. We used the devotions here; I simply printed them out and put them in a folder. We tweaked this particular set of devotions every now and then--we really wanted to emphasize how the Old Testament pointed toward Christ.
It is NOT expensive (at least, it doesn't have to be). You can buy Jesse Tree kits online if you're pressed for time, but gathering the ornaments myself was part of what made it so meaningful to me. The website we use offers patterns (found here). You could use these to cut out ornaments from felt, foam or paper. I probably did four or five of my ornaments this way. I also bought several at craft stores (many of them, such as Hobby Lobby, put their ornaments on sale for half off very often, and you can easily get pretty ornaments for a dollar or two each). I tried to get really clever on a few--for example, for the story of the Fall, I found a little plastic apple and glued a plastic snake to it. For Joseph's "coat of many colors", I found some striped fabric and cut it out in the shape of a coat. For the devotional about how the prophets told of the coming Messiah, I bought a sparkly key (as in, "the prophets were unlocking the future"). See? There's no end to how you can get creative on this.
My children loved this. Every night before bedtime, beginning on about December 1, we'd snuggle up for our brief Jesse Tree devotional. It was always a great honor as to who would get to place the day's ornament on the tree! The devotions themselves are brief, but many interesting discussions were launched by our reading. (If anyone can share the story of Abraham's willingness to sacrifice Isaac on the altar without scaring the be-jeebers out of kids, please share your methods. That's a tough one).
When Christmas gets closer, I'll bring down my Jesse Tree box from the attic and show you some pictures of my favorite ornaments. Maybe I'll even set up a Mr. Linky so you can share your Jesse Tree projects as well! I encourage you to try this with your family, even if you don't consider yourself very religious. It's a relatively easy way to teach your kids why we celebrate Christmas, and you'll learn a few things in the process as well (I certainly did!)