Santa Claus lives in Lapland in Finland, and the last Saturday of November, Santa Claus opens the Christmas season in Santa Claus Village in Rovaniemi in the Finnish Lapland.

Useful links:
The official www-site of the Santa Claus Village in Rovaniemi in Finland: www.santaclausvillage.info
Rovaniemi in Lapland in Finland official tourism information
Laplandfinland.com: the official tourism portal of Lapland in Finland