Give it to the birds
Move the tree in its stand outdoors for the winter, where it can provide food and shelter for wild birds. Even better, put the tree near a bird feeder or hang bird treats from the tree—like bags of suet (animal fat you can get at most grocery stores) or a small piece of wood or thick cardboard smeared with a mix of birdseed and peanut butter—and it will not only attract birds but feed them, too.
Give it to the fish
Sink your tree in a pond (with permission, of course). In deep water, old trees become habitats for fish and aquatic insects. In shallow wetlands, trees can act as barriers to sand and soil erosion—though currently only the State of Louisiana has a tree-based restoration project in place. For more information, go to savelawetlands.org.
Compost or chip it
Call your municipality's administrative office to find out if your town has a special day for picking up Christmas trees or a place where you can take them after the holidays where they will be ground into wood chips and/or composted. Often you can go to the municipal compost site in spring and get free compost and/or wood chip mulch for your garden. Of course, you won't recognize the chips/compost from your tree, but you can feel good knowing that it's helping other gardeners have healthier landscapes and you have kept perfectly good organic matter from clogging a landfill.
Turn it into a trellis
Move the tree to a corner of your yard and in the spring set it up in your garden as a trellis for peas or beans.
Plan to plant for next Christmas
Think balled-and-burlapped when you purchase next year's tree and you'll be able to plant the tree after the holidays.