There are three theological virtures: Faith, hope, and charity. Faith is belief in things unseen, hope is belief in the things unseen that are yet to come, and charity is to will the good of another, that is to direct them to God.
The Christian life must be one of faith, where we turn around (the etymology of conversion means to turn back) and recognize that in trying to direct our progress for our own ends we are blind. But we see when we turn out of ourselves and say "Yes" to the direction of God in our lives.
We hope for Heaven, that we might be in communion with the Blessed Trinity, which is an eternal exchange of love between three divine hypostases, Father; Son; and Holy Spirit.
The life of faith is an imitation of this love to the best of our ability directed by grace. We must be in communion with our neighbors, for Man is a social animal instructed by Our Lord to love each other in imitation of God. This is expressed in the life of the Church. Holy Communion is a sign instituted by Christ of the true presence of His Body and Blood, Soul and Divinity, which is a mark of union with the fullness of the Church.
My theology professor said that Martin Luther was right to point out that justification is by faith. Except he's wrong, because it is a life of faith manifested in hope and charity. For faith without works is dead as we find in Scripture.
At Christmas we commemorate the first coming of Our Lord while looking forward to the Second Coming and the perfection of all creation. This first coming is the act by which God reconciled man to Himself and reveals His very essence of Love. God also brings Man to have Faith in Him as Trinity.
Our purpose in this life is to "know, love, and serve God so that we might be with Him in the next." Advent is the time that this is really hammered home during the liturgical year.
I don't think Protestant celebrations of Advents make much sense. The Protestant error is to place justification entirely on faith or to place it entirely in divine providence. Either way works turn out to be pointless. You either have faith or you don't for Lutherans, or you're damned or not for Calvinists. Oh and then there are Latitudinarians, which might be the first example of a Christian life where it really doesn't matter in the end. Certain Protestants "hope" for Heaven, in the case of belief in sola fidei, that it is unseen and exists but that they will get there eventually. Love is a nice, feel-good thing these days if you aren't a Protestant believing in a works-based salvation (yet another error). Why place our hope in the Second Coming, then, if it's not going to matter in the long run? The rapture figures into this too. Just be a good Christian and you'll be fine.
God's mercy is excluded simply by having faith, since there is nothing to ask pardon for anymore.
These thoughts sorta ramble on and probably are a bit generalized and not fully-fleshed out. FWIW, this was inspired by the discussion of the theological virtues in a section of Introduction to Christianity by Joseph Ratzinger. I intend to read it all (required for class) and blog about it more!