Full length video from the All I Want For Christmas holiday gift set. "Live In New York: Holiday Edition" was filmed at the Angel Orensanz Theatre in New York City in 2009.Full length video from the All I Want For Christmas holiday gift set. "Live In New York: Holiday Edition" was filmed at the Angel Orensanz Theatre in New York City in 2009.Full length video from the All I Want For Christmas holiday gift set. "Live In New York: Holiday Edition" was filmed at the Angel Orensanz Theatre in New York City in 2009.