The Christmas rose is a beautiful evergreen plant that blooms in the winter, often in the snow. It is not actually a rose at all but rather a plant in the same family as the buttercup. Hermione made a wreath of Christmas roses for Harry to place on his parents’ graves in Godric’s Hollow (DH16).
Harry had actually come into contact with Christmas roses before -- in Snape's Potions class -- since that is the informal name for the plant hellebore, which Harry forgot to add to his cauldron while making the Draught of Peace (OP12).
The Christmas Rose, or Helleborus niger is not a rose at all but a beautiful evergreen plant in the Buttercup family that blooms in the winter, often in the snow. It is also quite poisonous in spite of being used for medicinal purposes since ancient times. Folklore says that it first sprouted in the snow from the tears of a young girl who had no gift to give the Christ child in Bethlehem.
One of the most popular cultivars of the plant is known as "Potters Wheel."
The connection to the hellebore used in Snape's Potions class is quite interesting and meaningful. Who else would be just as emotionally moved as Harry over Lily's grave except Severus Snape? And a few days later, Snape shows up in the Forest of Dean on the Feast of St. Stephen, the day after Christmas (also called Boxing Day in England), and uses his silver doe patronus to lead Harry to the Sword of Gryffindor. The silver doe was also Lily's patronus, and if "Feast of Stephen" sounds familiar, remember the line from the Christmas carol: "Good King Wenceslas looked out, on the feast of Stephen, when the snow lay round about, deep and crisp and even."