(at around 15 mins) When King Julien is in the crashed airplane with all his "Julianuary" gifts, he refers to the skeleton of the pilot as "Amelia". This is a reference to legendary female pilot Amelia Earhart who disappeared over the Pacific Ocean while circumnavigating the world in 1937 in a Lockheed plane. And, appropriately, he gives Amelia a toy airplane.
The special actually takes place after the events of the first film Madagascar (2005) and before the events of the second film Madagascar: Escape 2 Africa (2008).
The lemur natives are pelted with lumps of coal every year by Santa, presumably because they are always naughty, as per the original mythology of Saint Nicholas.
First Christmas special to have a theme of Romeo & Juliet. The penguins of the South Pole represent the Montagues, the reindeer of the North Pole represent the Capulets; Private is Romeo and Cupid is Juliet.
Sacha Baron Cohen was originally going to reprise his role as King Julien and "Julianuary" was originally going to be named "Julienmas". But after he recorded all of his lines for the special, Danny Jacobs took over the role and recorded new lines for the special. He even replaced "Julienmas" with "Julianuary".