There's a sketch where Anderson plays the Virgin Mary, which should give you some indication of the level of humour. Have to agree with John Doyle in the Globe and Mail who today suggests Peters seems to be slumming.
Still wish somebody would re-air a much better comedy take on Christmas specials past: Dave Foley's 2002 CBC effort The True Meaning of Christmas Specials. It was packed with an even more eclectic list of guest stars: surf guitar king Dick Dale, Jason Priestley as "Santa Dude," Jann Arden, Elvis Stoyko and cameos from Mike Myers, Andy Richter and Tom Green. Two SCTV legends, Dave Thomas and Joe Flaherty, stopped by and did their killer impressions of Bob Hope and Big Crosby. Find a clip of Foley and Flaherty as David Bowie and Crosby here and prepare to laugh yourself silly. (Stay for the cue card gag at the end.)
There's also some talk about Dragon's Den meanie Kevin O'Leary's January CBC start Redemption, Inc. Listen in to the full CHML TV chit chat here.