Oh Melon, I feel for you! We had NO MONEY at all growing up, but like a previous poster I remember how lovely it was to get the stocking at the end of my bed on Christmas morning with the apple, tangerine, chocolate coins, maybe a candy cane and a little present in it.
Others have suggested great ideas for places to get presents if you have got a little money - this year we will also be using Approved Food (great for end of line/short dated chocolate and other stuff that doesn't go off, basically, they also have some toiletries and cosmetics - there is a minimum order though; we'll also be using B&M, Poundland, Home Bargains, Poundstretcher, our local charity shop (latest bargains - raw silk shirt for £1, Next tailored petite jacket for £1 and still boxed herbal tea strainer for £1). Our 2 nearest charity shops get some amazing stuff in, often still boxed. And I love tracking down vintage clothes from labels that no longer exist or have declined in quality in the shops (Laura Ashley, St Michael for instance) and washing them or changing the buttons to restore them.
We might also have a look at Groupon and Wowcher, and most definitely at the threads on the moneysavingexpert website for money saving, thriftiness and having a cheap Christmas. I second the moneymagpie suggestion upthread and also amazon warehouse items, I got something to help me work from home recently at a fraction of the cost it would have been new because it was a return, yet it still came in a box with all the manuals and didn't look as if it had been used at all.
One year when I went to a friend's for Christmas lunch they had wrapped up individual Lindt chocolates and put them on the tree with people's names on, it was so sweet. (Literally!) 'Kits' that should be relatively cheap to make - how about a mug with the ingredients for hot chocolate inside it, little bag of marshmallows, some of those little packets or alternatively a small jar of hot chocolate inside?
If money is really tight and you need to keep things free how about a booklet of homemade vouchers? You could tailor this to each child - you know, "you are exempt from helping to wash the dishes for 24 hours" or "you have sole use of the remote control for 24 hours" or "breakfast in bed coupon"; or "I don't feel like eating greens today"; a "Mum has to sing a Christmas carol of my choice" or "the last roast potato" coupon; a Youtube list of their favourite songs or movie clips put together; or a "dream dresses" Pinterest board; free ebook links (there are several sites out there, not just Amazon, that list these although some are time limited).
Best of luck, anyway!