We usually put ours up as close to the start of Advent as possible, so that we can get the maximum enjoyment from it! Putting all the decorations and the tree up really kicks off the start of the festive season for us :)
My mum does it the night before Christmas, but my mother-in-law does it around the beginning of December. I don't think I'll put one up this year because of my son, who'll probably attack it the first chance he gets. I may put up a table-top one. If I do, it'll be closer to the beginning of Advent.