Physical Danger
There's nothing as dangerous here as flying around the world in a box strapped to the back of eight stick-thin deer—which, by the way, are not known to be the calmest of animals even in the best of times. As long as your car gets you to and from the mall or banquet hall, most of the bodily harm will come in the form of the occasional shin kick from an angry kid.
A more hazardous part of the job is the cold-weather sickness gremlin that many of the children will be sharing with you. Kids get sick—it's part of that whole building-an-immune-system thing that humans do. However, just because a kid is sick, it doesn't mean mom and dad will spare you the trouble of having them sit on your lap, mere inches from your face.
Should the kid maybe be in bed instead of a crowded shopping mall? Nope; if little Sally wants to see Santa, little Sally is going to see Santa.
That doesn't even count all the year-round infections those drooling, screaming carriers of disease may have. For tetanus or measles or any dozens of other possible ailments, make sure you're up on all of your shots.
Vitamin C is a good idea too. And for Pete's sake, get a flu shot every year. Santa may be an immortal flying magic man, but your immune system's only as good as your last inoculation.