digital-photography-school.com just posted a great guide to taking pictures at all those parades that are so popular this time of year. My favorite tip is to shoot the crowd reactions. My best shots from these types of events are always of the spectators and not the activity itself.
The only thing missing is any mention of what to do for night parades. A lot of Christmas parades are at night with the only lighting coming from the holiday decorations. Here a fast lens (f/2.8 or better) is a must have. Also, shooting wider angle shots can help reduce motion blur at slower shutter speeds. It goes without saying that you will have to bump your ISO up to get hand-holdable shutter speeds. Finally, don’t be afraid to brace up against a light pole and get some long exposure motion blurred shots!