Kiwanis Wave Pool in Tempe. It s not exactly a full blown water park, but it s indoors and has a wave pool and a water slide.http://www.tempe.gov/pools/KiwanisWavePo��
Enchanted Island is in Phoenix. It s not open on Christmas Day.
None of the big waterparks are open in the winter, it s way too cold for that.
Try Wet N Wild. I don t know if they re open around Christmas but they were for Halloween.