St. Stephen isn’t the first martyr of the liturgical year — this is often St. Andrew (30 November) — to say nothing of the many martyrs (and Virgin Marytrs) we meet in our Advent journey like Saints Barbara and Lucy, but the Protomartyr’s feast falls wonderfully subsequent the birth of Christ, and so the martyr has a pride of place in the white-robed army [Te martyrum candidatus laudat exercitus in the Te Deum] accompanying Christ at judgment.
Thus does the Sacred Liturgy blend the joy of our Lord’s Nativity with the gladness She feels at the triumph of the first of Her Martyrs. Nor will St. Stephen be the only one admitted to share the honors of this glorious Octave. After him we shall have St. John, the Beloved Disciple; the Holy Innocents of Bethlehem; St. Thomas, the Martyr for the Liberties of the Church; and St. Sylvester, the Pontiff of Peace. But the place of honor amidst all who stand around the Crib of the newborn King belongs to St. Stephen, the Protomartyr, who, as the Church sings of him, was “the first to pay back to the Savior the death suffered by the Savior.” It was just that this honor should be shown to Martyrdom; for Martyrdom is the creature’s testimony and return to his Creator for all the favors bestowed on him: it is Man testifying, even by shedding his blood, to the truths which God has revealed to the world. (Vol. 2: 224)
And a bit later:
Stephen, then, deserves to stand near the Crib of his King as leader of those brave champions, the Martyrs, who died for the Divinity of that Babe Whom we adore. Let us join the Church in praying to our Saint, that he help us to come to our Sovereign Lord, now lying on His humble throne in Bethlehem. Let us ask him to initiate us into the mystery of that Divine Infancy, which we are all bound to know and imitate. It was from the simplicity he had learned from that Mystery that he heeded not the number of the enemies he had to fight against, nor trembled at their angry passion, nor winced under their blows, nor hid from them the Truth and their crimes, nor forgot to pardon them and pray for them. What a faithful imitator of the Babe of Bethlehem! (226-27)
Stephen is important, as are all the martyrs, because he, like Christ, entered his death willing (sua sponte). He is honored in Holy Scripture with his ascension to the original diaconate as a man full of faith and the Holy Spirit [Acts 6. 5], and his martyrdom [7. 58-60], but not before his speech before the Jerusalem council, one of the longest in the entire New Testament, rich with Old Testament exegesis.
Moreover, the collect of his feast reads: Grant, O Lord, we beseech thee, that we may imitate him whose memory we celebrate so as to learn to love even our enemies [et inimicos diligere]; because we now solemnize his martyrdom [natalitia, lit. birth, i.e., into heaven], who knew how to pray even from his persecutors to our Lord Jesus Christ, thy Son, who liveth, etc.
St. Stephen’s natalitia, or birth into heaven, is dramatically unfolded in Holy Scripture: But he, being full of the Holy Ghost, looking up steadfastly to heaven, saw the glory of God and Jesus standing on the right hand of God. And he said: Behold, I see the heavens opened and the Son of Man standing on the right hand of God [Acts 7. 55-56]. In fact, Stephen is the only one excepting the Savior himself to refer to Christ as “the Son of Man,” a sweetest token of divine revelation as he witnessed the veil of heaven being pulled aside for his soul’s entrance into divine mansions.
[Moreover — and this is pure speculation — St. Stephen would have been part of the happy few to witness Mary’s Assumption into heaven, albeit with the souls of his soul.]
St. Stephan is already honored in yesterday’s Ad Primam (Prime) martyrology: At Jerusalem, holy Stephen, the first Martyr. He was stoned by the Jews not long after the Ascension of the Lord. But more important than this is that St. Stephan’s name is sung in the Roman canon, right after the Baptist’s (read more here).
Lastly, his attend hymn, “Deus Tuorum Martyrum,” is sung both during this Christmas octave for the Protomartyr as well as during the paschal season (link):
Deus tuorum militum
Sors, et corona, praemium
Laudes canentes Martyris
Absolve nexu crinimis.
O God! thou inheritance, Crown, and reward of thy Soldiers!
absolve from the bonds of our sins us who sing the praises of thy Martyr.