Krampus isn't really mentioned in Canada or the US, but Krampus Runs are sometimes observed in the Prairies, owing to these provinces' fairly high concentration of German immigrants. I already knew about him, but I'd always considered him as a mildly subversive take on Christmas' overdose of cheer. Dig around a bit, and you'll find American Krampus cards dating back to the twenties and thirties, mostly dialing his Hell-beast cred down to Santa's more salacious and punishment-focused counterpart.
It didn't catch on, though, what with Rule 34 content involving Santa being a dime a dozen. It seems easier for most people to imagine Saint Nick having a bawdy side than to consider that he's balanced out by a womanizing creep who whips naughty kids back into shape.