First off, make sure you have a realistic head on. There are three basic facts about shopping with children. You are not going to get nearly as much done as you hoped you would, you will undoubtedly end up spending more money than you would do if shopping alone, and everyone will get tired and testy at some point, you included. If you accept these inevitabilities from the outset rather than fear or fight them, the day won't be nearly as bad as you were expecting.
The first problem is easy to tackle. Start by going through your list, crossing out anything that isn't essential. Then when you're out and about, don't be a perfectionist. "That'll do!" is an excellent phrase to be repeated.
To keep costs down, take some bottles of water and a few snacks to cut down on those sudden attacks of thirst and hunger that can become irritatingly expensive. Saying that, a sit-down with a hot chocolate is a damn good reward or bribe - however you want to play it.
Tired and testy is a harder nut to crack. But here are a couple of games to try which might help make shopping a bit more fun for everyone:
Alphabet I-Spy - The first person looks around and names something they can spy-with-their-little-eye beginning with an A. The next person calls outs something beginning with a B, next person C, and so on. Depending on the age of the players, impose a ten second time limit to come up with a word, and the letters Q, X and Z can be left out. If you go around the alphabet more than once, take care not to repeat any words.
Celebrity Spotting - Older children adore this and it's very good for breaking up any teenage tension. Look out for any look-alikes. So for instance, a old man wearing an orangish wig? Why, it's Elton John of course. A thin woman with dark hair, high heels and sunglasses. Well, I never did! It's Victoria Beckham! Two small lads seemingly joined at the shoulders - Ant and Dec!
The Imitation Game - A good one for queues. Look at the person standing in front of you (assuming they have their back turned towards you). Try to copy everything they do without them noticing, whether it's shuffling about on their feet, fishing around in their pockets for a wallet, whistling, exhaling loudly, answering their mobile phone, etc. Be as bold as you dare, and if you raise their suspicions by mistake, just smile nicely and wish them a Merry Christmas.
Good luck!