Following the Nativity of our Lord, the Church honors His Holy Mother, the Theotokos and ever-virgin Mary on the 26th. For three days following the Synaxis of the Theotokos, the Church commemorates the martyrdoms of St. Stephen, the martyrs of Nicomedia and the 10,000 Holy Innocents. All events happened at disparate times, but the commemoration of these particular saints fits in perfectly with the season of the Nativity.
Christ's coming in the flesh was to rescue His creation from the usurpation of Death and Hades. Of course, the devil and his demons did everything possible to not only prevent Christ's birth (the commemoration of 10,000 Holy Innocents who perished at Herod's hands), but to prevent the faith confirmed in the Resurrection from spreading to the Jews (commemoration of St. Stephen) and also to prevent its spread into the oikoumene of the Roman Emperor during the reigns of the tyrants Diocletian and Maximian (commemoration of the 20,000 martyrs at Nicomedia). So, what have these events to do with Nativity?
The Magi brought gifts of gold, frankincense and myrrh to the Incarnate Logos, then a new born babe. Following Christ's triumph over death and His gift of Resurrection to us, we lowly mortals still give gifts to Him. As He suffered and died as a gift to us, so the martyrs suffered and died to give back what Christ has given us. Martyrdom is a calling reserved for very few and they are rewarded with special crowns in the Kingdom of Heaven. Like the Lord who is both the offerer and the offered, so the martyrs. They were offered by God and offered themselves to the persecutors of Christ for the sake of the Gospel.
Such is why we honor the martyrs throughout the year and even in this Nativity season. Fr. Thomas Hopko explains:
More than all others, the martyrs are the friends of Christ [cf. John 15: 14]. In their sufferings, according to the daring words of St. Paul they "complete what is lacking in Christ's afflictions for the sake of His body, that is the Church" (Col. 1:24).--The Winter Pascha, p. 132
Through their prayers, may we be brought to the perfection of the faith.