Krampus is a demonic-looking hairy creature with cloven hooves, goat-like horns, and a long pointed tongue. He accompanies Saint Nicholas and while St Nick rewards the good children with toys, Krampus carries off the bad children in a basket. Different stories have him either drowning, eating, or carrying off those bad kids to Hell.
I tried to tell my kids to be good or Krampus will carry them off but they just laughed at me. I should have started when they were younger. I do like Krampus, though, probably because I'm so Scrooge-like about Christmas.
Apparently, the Krampus mythology dates back to pre-Christian times and while the church has tried to temper celebrations of a devil-like figure, some people still keep the idea alive. See Krampus.com for some neat information and images.