Depends how long you want to go for, last year I did Costa Brava which covers both christmas and new year, the hotel had entertainment on every night, varying between, musicians, flamenco dancers, disco, etc.
Wasn't sunbathing weather but was not cold either, good for walking and exploring. Plenty of excurrsions plus easy to get the train either south to Barcelona or north to various places (had nice lunch in Blanes.
If its just christmas or new year i can recommend Andalucia although i didn't do that holiday during the festive season enjoyed the excurrsions.
