Leaving cookies and milk for Santa started to become popular in the U.S during the Great Depression. Parents wanted to teach their kids it was better to give and to be grateful for presents they received during times of economic hardship.
Some 80 years later, many children still set out cookies and milk for Santa, whether out of the goodness of their hearts or (in less wholesome cases) as a bribe to receive more gifts from the jolly bearded man in the red suit.