In Japan it is fairly cool in late December and January with some snowfall being a real possibility even in Tokyo.
Partying will be much more expensive than in Thailand, but if visiting Japan is a realistic possibility, it is a place that you should visit at least once in a lifetime. If you go to Thailand there is serious risk that you will keep returning and ignore all other destinations for the rest of your life.
You would be pretty late buying air tickets for the Thailand peak high season around Christmas/New Year, so it might turn out that visiting Japan is relatively less expensive now.