Advent is historically a time of penance, which is why the liturgical colors for Advent and Lent are the same.
There are three major factors in the penance having been forgotten:
Advent is a much shorter season.
It does not begin in a mournful fast day as does Lent.
And in North America (and possibly to a lesser extent Europe – haven’t been there in winter), it conflicts with the holiday merchandising and party season.
That said, there is absolutely no reason not to do penance on ANY day that is not a Church feast, if the Spirit leads you.
I’m probably not going to fast, though. Our bodies require more caloric when the weather is cold. And in the conventional party season, fasting is almost sure to fail.
A good alternative penance is IMNAAHO to buck the general culture and, to the extent possible, defer the actual celebration to Christmas itself. Too many fellow sinners, having lived it up through Advent, are weary of Christmas on 12/26. Hold off and prepare spiritually in Advent, and be ready for all 12 days!
ICXC NIKA.