There's many different ways to mark the days.
One can burn candle - or candles. There's special advent candles decorated suitably, and you'll burn a half an inch every day.
We also have a tradition where four candles are burned - one every sunday - before the Christmas. There's plenty of different four candle holders created for this purpose.
The most common calendar is the picture calendar. You'll open a "door" or "window" every day of December, and another tiny picture is revealed. There's variations of this too. I have seen calendars with candy behind the "doors", and calendars with a quote or a joke. I have also seen calendars where the child is given a puzzle or craft idea for the day.
The on-line advent calendars or count-down calendars are variations of this theme.
Here in Scandinavia there's a tv show every year, with a special short program made for children every day of December, and a picture calendar created for it, so that children can open the "doors" at home when the show host opens them at the television.
I'd say the most popular are the calendars that give you a small present, like candy or a tiny toy for each day. The European toy companies have taken this idea, and some companies, like Lego, make calendars with boxes to be opened and there's a piece of Lego in each.
The crafters have naturally taken the idea, and in the German craft magazines there's always a pattern or instructions on how to make an Advent calendar.
It's usually a tiny set of drawers - matchboxes are often used for this purpose - or a picture with pockets or pouches where the gifts can be put.
There really are no limits to what kind of calendar one makes. The idea is to give the child a small surprise for every December day before Christmas.
(Make a search with "adventskalender basteln" to see more ideas...)
Now this "small surprise every day" is THE problem with these calendars. Scandinavia is filled with worried parents in November, trying to fill their heirloom calendars with something that is small but affordable.
The easy way out is candy. You can have a piece of candy in every pocket. It's easy and cheap - but not original or healthy. Also, one can make a cookie calendar.
One idea is to get a big bag of tiny plastic animals, for example dinosaurs, if the child like them.
In the Christian families, the family creche is sometimes stored in the calendar, and the child gets to place the nativity scene characters in the scene and so build up the scene. It's always a big happening when baby Jesus is put in the crib on the Christmas day.
A Pagan could use this idea to create a Sabbat scene, illustrating one of the Sabbat stories, and fill the pouches with the characters to build the scene.
There's also different creche traditions around the world. In Krakow they use to build these amazing castles as "frames" to the scene, and in Provence they create tiny clay figurines (Santons) of every day characters to "inhabite" the nativity scene... The Santons scenes are lovely :-) In Italy they also create elaborate and huge scenes with high, rocky landscape filled with different animals and people from the Bible. These characters could be used to fill the advent calendar for different Sabbats.
For example for Samhain one could make Cerridwen's cauldron scene. Cerridwen with her cauldron would be in the last, big pouch, but in the other pouches there would be for example tin soldiers. The child could then paint the soldier and place it "dead" in the scene, to then "revive" them in the Cauldron on Samhain day and play with them. There are some role playing game miniatures sold, which are much more interesting than usual tin soldiers, but they are rather expensive... One won't easily pay a couple of hundred dollars/over thousand cronas 8 times a year... but one can make own characters of clay, salt dough or what ever :-)
You can also write or find a story with a chapter for each day. (The traditional Christmas Advent Calendar has 24 or 25 days, but you can choose as many as you wish. My calendar for Samhain has 31 pockets, but you can choose for example three or four weeks before The Day. The Pagan Sabbats occur on different dates and it might be easier to use the calendar if it wasn't date bound.) You print the story on nice papers and bind every chapter with pretty ribbon and put in the pockets. Then every day you read a new chapter.
You can also make the story your family tradition, and next year put a little something with connection to the chapters in the pockets. For example, if there's a mirror found in the story, there can be a pocket mirror in the pouch. If they see something special, there can be a miniature of that something in the pouch. This can naturally be part of the day's surprise even if the story isn't a family tradition, but you get a new story for every year. It's nice to illustrate the story with small surprises, and it also makes your job a lot easier. It's easier to find a small dragon than small "something".
There're naturally no limits to what to put into the pockets. You can use fridge magnets; stationary, like pen, notepad, erasure; jewelry or hair decoration for a girly girl; bookmarks; pearls and beads for a beader or other craft material; tiny toys, ornaments or figurines; a hat, pair of gloves, socks you have knitted; money... look around you and see the small objects in your life.
Advent Calendars - the history. From a company which produces advent calendars.
Advent calendar at Wikipedia
This is the tea advent calendar - for every 24 days you'll take a new tea bag, with a new flavor :-)
I designed my Samhain calendar this morning. It's meant to last from 1.10 - 31.10. There's 30 smaller pockets and then one big pumpkin pocket for Samhain eve. It depicts a garden patch. Surprises are put into 30 small pouches which are decorated with applicated root vegetable and embroidered greenery with the date number in it. The one to whom the surprises are will "pull out the vegetable from the soil" and enjoy the gifts of harvest ;-)
The message is that one's death is other one's life - we'll all die one day to give place to another life form. Harvest festivals are celebrating this. A plant will die when its roots are pulled from ground, or when it's cut. But in death the plant gives us the gift of life. Life takes life - plants use the dead animals turned into nutrition by the bacterias and other creepy crawlers in the soil, and animals use the dead plants. Death is a gift and should be honored, respected, venerated. It should not be seeked out, but it should not be avoided or feared either. No-one should want to live forever, and in the end of good life, the death is the Liberator.
P.S. I just added "Craft Sanity" to my links. Jackie the Snow Heart Witch posted a funny crocheted eyeball pattern from there :-)