There's another thread running at the moment in Christmas about stockings and limiting clutter, lots of ideas on there too 
I usually get stuff they need but fun versions, like character socks, toothbrush, flannel, plus a few little figures/vehicles whatever they're into, clementine, few food treats (I do biscuits, chocolate coins, variety pack cereal) a small book, colouring book, stickers, bubble bath, crayons, playing cards/flash cards.
You can usually find that sort of stuff on Amazon.
Last year when my ds was coming up to 3 I also got him a set of ink stamps. This year I'm going to put in a projector torch I think, they're about a fiver and you can get different slides to put in them, zoo animals etc.
I love doing a stocking, and it's always the bit my ds talks about the most!