Starting the day after Christmas, you'll be seeing everyone's Christmas tree in the alleys here in Chicago,

or on the curb in the 'burbs.
Here's what I do:
Drag them into your yard and take a good pair of sturdy pruners to trim off the branches. Use the greenery to cover your garden beds now before the coldest part of the winter--they'll act as mulch, add necessary nutrients to the soil, and serve as winter interest in your yard. In the spring, rent a chipper and create your own pine mulch to refurbish the paths.
Save the trunks of the trees to create trellises for beans and peas in the spring.