VB.Net - 530 Chars (no spaces), 634 (spaces)
Module ChristmasSong
Sub Main()
Dim i&, f$ : Dim d$() = {"first", "second", "third", "fourth", "fifth", "sixth", "seventh", "eighth", "ninth", "tenth", "eleventh", "twelfth"}, g$() = {"a partridge in a pear tree.", "two turtle doves, and ", "three french hens, ", "four calling birds, ", "five gold rings, ", "six geese a-laying, ", "seven swans a-swimming, ", "eigth maids a-milking, ", "nine ladies dancing, ", "ten lords a-leaping, ", "eleven pipers piping, ", "twelve drummers drumming, "}
For i = 0 To 11 : f = g(i) & f : Console.WriteLine("On the {0} day of Christmas, my true love gave to me {1}", d(i), f) : Next
End Sub
End Module
