I think you can go for one of 3 types of gift really, depending on the family and the type and strength of their religious affiliation.
1.) Traditional gifts:
Jewellery, (either for the baby or to keep for older, cross and chain, bracelet, st Christopher medal etc.)
On your christening day memorabilia, (photo frames etc, bible with special cover)
Money boxes (for some reason?)
Gifts editions of classic children's books.
2.) Religious gifts:
Bible, rosary beads (catholic only), cross, wall plaque, holy picture, statue of a saint (catholics only) etc.
Children's picture bibles, or bible story books (you can get all sorts of these, traditional and modern, funky ones) or bible toys such as jigsaws, noah's ark toy, child's nativity set etc
3.) Normal baby gifts
Gifts related to names, or to water are particularly appropriate to christenings. So if you didn't just want to get a 'normal' baby gift, anything personalised, or things like bath toys could be good.