The saints of Christmas week all gave their lives for Christ but in different ways. St. Stephen is considered the first full martyr. St. John was not killed but still gave his life to Christ and to the Gospel.
The Holy Innocents are the "first buds of the Church, killed by the frost of persecution," and are considered to be martyrs of blood alone.
They did not know Christ, they did not choose to die for him, and yet they did die for him, even more, they died
in his place, which is an extraordinary honor.
This is a very sad story, but one that has a triumphant happy ending. We are sad for the cruelty and cowardice of King Herod. We are sad about the suffering of the families of those babies. But we rejoice for the Holy Innocents themselves, who were among the very first to enter heaven.