I'm a keepsake fanatic, so apologies if none of this floats your boat!
1st Christmas bauble. Mothercare have them on offer at the moment at £10 (was £12). Personalised with child's name, year, and space (4 short lines I think) for a personal message. Each of my kids have a bauble from their year of birth. They are quite heavy, being china, so have to hang carefully on the tree. Can order online at mothercare.
Also, my kids got a Harrods Christmas Bear in their year of birth (new one out each year), which has the year stitched on his paw. They were £5 off last week (£24.99 down to £19.99), really lovely bears. Available online type 'freddie' on Harrods search engine.
Really cheap one is a presentation pack of the 2011 Christmas stamps. I think they're around £7 and can get them at the post office or online at the Royal Mail. www.royalmail.com/Christmas-2011
For around £20ish you can get a baby gift set of the full set of 2011 Royal Mint coins online at the Royal Mint. www.royalmint.com then under the 'gifts' tab, select 'baby and christening'.
And I just put some pennies in baby's trust fund account rather than getting more stuff that she didn't need, so all kids have the same spent on them regardless of age.
hope this helps.