Regional pastries abound throughout the city and during Christmas three desserts in particular can be seen in pasticcerie everywhere: Struffoli, Mostacciuoli, and Rococo.
The guru of neapolitan desserts, Luciano Pignataro, has written a fabulous and comprehensive book I dolci napoletani where he reveals the secrets of these Christmas treats. For English speakers, he has translated the Christmas page of the book at his website with a bit of the history of the three treats as well as recipes for each.
Here, I'll only give a brief history of the treats as well as pictures:
Struffoli: Once prepared by nuns in Naples and given as a gift to noble families at Christmas, this dessert consists of fried balls flavored with honey and decorated with multi-colored candied almond balls.
Mostacciuoli: Are said to bring good luck.
Rococo: Nuns prepared this treat all the way back in 1320. They are hard biscuits that are then soaked in vermouth or wine.