Shinjuku South Exit
If you exit Shinjuku station out the south exit, or better yet the "new" south exit, you arrive in a promenade with Krispy Kreme donuts, Starbucks, Tokyu Hands, and other shops.
This whole area is lit up with spectacular lights, and being right outside the station, is a great place for a stroll. I wouldn't recommend however trying to get into the Starbucks this time of year, as it will always be overly crowded.
What I would recommend however is after strolling through the illuminated area, heading over to Tokyu Hands or Takashimaya to do some shopping. Although a bit on the expensive side, it still can provide hours of window shopping and exploring.