This has always been one of my favorite stories about the softer side of the American defense establisment (or the military-industrial complex, if you prefer).
Allegedly, the whole thing got started in 1955 when a department store in Colorado Springs set-up a phone number which local children could call and talk to Santa. They misprinted the number, and the calls were routed to the new NORAD Ops Center at Cheyenne Mountain. A quick-thinking USAF sergeant on desk duty that night, realizing the child on the other end of the line was not a Soviet spy, gave the kid a radar fix on Santa's location and assured him that the USAF was tracking St. Nick and that presents were on the way. Word got around, and the calls started to come in droves. With no official guidance or instruction, the night watch staff at Cheyenne Mountain simply continued to give rather vague updates of Santa's current position, thus reassuring an entire generation of local schoolkids. Hence, a tradition was born.
The problem with that story is that NORAD wasn't founded until 1958 and Cheyenne Mountain didn't go operational until 1966, eleven years after the supposed first phone call from Colorado Springs.
Still, I like the story better than the reality.