Last year, I find, looking through the archives, I wrote a really good, long, detailed post on Advent and on the ways in which Protestant Christians can and should celebrate it. Have a look at it if you're interested.
Let me add here that if you are going to celebrate Advent, you strongly consider using the real collects for Advent. Here is a page that has them all. For three out of four of them, I cannot even imagine any Baptist or other Protestant having the slightest theological scruples about anything in them, and for the fourth, the only scruples would arise from a particular interpretation of Calvinism rather than from Protestantism per se. But if you're gonna do it, do it traditional as much as possible. I once saw a bunch of "Advent prayers" that were totally modern and had nothing to do with the traditional weeks of Advent. Here, briefly, are the emphases of the collects/Sundays:
First Sunday--General Advent Sunday--emphasis on Jesus' first and second comings and on preparing for His second coming.
Second Sunday--Bible Sunday--emphasis on thankfulness for Holy Scripture and the way we should read and digest it to prepare for Jesus' coming.
Third Sunday--Gaudete Sunday--emphasis on joy, collect emphasizes prayer for ministers that they may prepare the hearts of the people for Jesus' second coming.
Fourth Sunday--Request for God's power to help us run the race that is set before us.
If you light candles, there should be three purple, one pink, and one white. One purple candle the first Sunday, two the second, two purple and the pink the third (Gaudete), and all the candles but the white one the fourth Sunday. The white candle, the Christ candle, is a symbol of Jesus, the light of the world, and is lit on Christmas Eve and/or Christmas Day.
And here, just because I love it so much, is the collect for Advent Sunday:
Almighty God, give us grace that we may cast away the works of darkness, and put upon us the armour of light, now in the time of this mortal life, in which thy Son Jesus Christ came to visit us in great humility; that in the last day, when he shall come again in his glorious majesty to judge both the quick and the dead, we may rise to the life immortal, through him who liveth and reigneth with thee and the Holy Ghost, now and ever. Amen.