Here's what I do, depending on their likes:

wine in a pretty velvet bag
bag of espresso beans with some small coffee syrups in a gift basket
Ghirardelli hot chocolate assortment in a basket (I put chocolates around them too)
Bag of chocolate covered espresso beans
case of beer (this one has been especially popular even though I always feel weird giving it)
Gift card with a "5 free hours of babysitting...go have fun!" (either I do it or pay a sitter for them)

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Proud to say I haven't shopped at a Wal-Mart since Sept 2003