My dd (7) wanted the perfume making set. Also asked for soap science and got given a snowglobe making set. There's loads of those kind of things, have look in the Argos catalogue 
If she's into crafts my dd's fav pressie 2 years ago was a set of craft drawers filled with stuff. I got a set of plastic drawers for £15ish then went into poundland and went crazy 
her actual fav thing in the drawers was her very own cellotape reel (she drove me mad asking for mine every 5 mins!), I filled it with silver card, tissue paper, sequins, pritt stick, lolly sticks, stickers, tracing paper etc etc. all in all maybe £30 for the lot. she LOVED it and because I'd picked the bits she'd pestered me for but i'd been saying no too she still remembers opening the present even now.
But for relatives I make a list of dvds, cds, and other small priced things the dc mention and suggest those.
This year i'm going to ask people to buy her some non-fiction books for her to look things up in. I picked up a science book aimed at her age group, at fete which she loves so I think she 'll like them even though it's not something she'd mention herself.
In the past I have asked people to buy both my dc a duvet set, which they both loved and was useful unlike another teddy (I feel your pain!)