Beware the novelty torches - make sure you choose one that can hold it's charge and not one that you need to keep pumping to keep the light going as your hand will fall off fairly rapidly...
Could you get a xmas special comic and roll it up - they often have small toys on that you can wrap separately and pop in the stocking, plus it will give them something to look at if they wake up really early.
If they like crafty stuff, watch out in tesco's if you go there, they sometimes have packs full of really annoying bits craft supplies beloved by ds1 that are usually more expensive but good when you can get them for a pound. In fact keep your eyes on those bargain displays as they often throw up a few weird and wonderful things for stockings or xmas presents.
keep an eye on bananas.co.uk for cheap books - it is the bargain basement site for thebookpeople.co.uk and redhouse.co.uk selling off ends of lines, and they are already pretty cheap (doing urls from memory, they might be .com rather than .co.uk)
stickers often go down well - whsmith have some on offer at the moment in their back to school bit (including some that have about 7 sheets for a couple of pounds instead of £7.
little boys if they are anything like mine seem to love cars - you can get cheap cars or a cheap set of cars that you can split up from supermarkets. Sainsburys had some the other day that was £1.05 for 5 cars (albeit reduced) - crazy price but great for stocking fillers or keeping one in your handbag and the car that you are not too bothered about them getting broken. If your ds is older, needs to be given along with a tablet of miracle grow/ baby bio so it will grow bigger for them 
Speaking of sainsburys, the last couple of years they have had half price toy weeks, last year it was in half term week 
(bit tricky to sneak buy santa stuff in shop when kids are constantly there!) which is great, especially for picking up the little sets of lego and playmobile that are usually £4-8 whcih seem really good value when you get them for £2-4.
Packet of seeds if you have a garden and they might be encouraged to grow something.
small musical instrument/noise maker if they are still little - hand bells, maracas, clipcloppers, little harmonica.
Pick up things like tennis balls or outdoor stuff on the sale now ready, most kids like to have a ball to chase around... In fact keep your eyes out in the sales now for things like mini craft kits and pens etc as well
slinky springs are always fun.
keep an eye on the pocketmoney toy section in supermarkets too.
fun set of socks and set of pants/vests that you would have bought anyway can be added, with bonus that they have nice new set to wear on xmas day.
bottle of bubble bath.
plastic cup/beaker with cheapest their favourite character on, again some going cheap after the summer - has advantage of taking up quite a bit of space. can put small pack of raisins / choc /etc in if you feel it takes up too much space. Or new sports bottle for taking drink to school if old one getting old/useful to have a spare
spare card for digital camera - prices are plummeting
ditto - memory stick for those a bit older
keep an eye out for promotions on places like play.com and thegadgetshop.com (they've already started, with xmas countdowns and warehouse clearouts...) - as well as places like tkmaxx on the high street.
Finally - work out what you are going to put in the stocking approximately - I have little boys so currently try to do satsuma, gold choc coins, pants/socks/vest, toothbrush, plastic beaker/sports bottle, little car or two, some sort of little character or man, plastic animal, fluffy toy to poke head out of the top, set of crayons or pens, something musical and something to read. Keep a list in diary (they can't read yet so don't have to worry about keeping it in code!) and then can tick off as I get them. If I spot something else that's a great buy then fine, it's not a fixed list, but I don't want to discover the week before christmas that I have got 43 bargain toy cars and no crayons for example.
Also be prepared to start buying things now. Find a place to hide things and add to it as you buy them, write down where it is (again you don't want to get to xmas eve and discover that you have lost all your stocking fillers when you come to pack them at 1.45am)