Thought I'd write a list of ideas and then others can too so I can steal my favourite ones. 
DVD (Xmas themed or a new one that's just out)
Book (Xmas themed again)
Santa colouring book
Felt tips/crayons for the colouring book
Popcorn
Sweets
Hot chocolate
Marshmallows (for the hot chocolate)
Pringles (my DC seem to think Pringles are a treat so always put some in now)
Santa mug
Santa plate
Board game to be played that day
Pyjamas
Slippers
Dressing gown
Santa socks
Toothbrush
Character bubble bath
Fun soap (I like the play-doh style soap from Lush)
Flannels
This year I was thinking of buying one of those big teddy bear throws from Dunelm and putting everything in it and trying it with ribbon like a big Santa sack. Might get 2 small throws and put them in it so they can cuddle up under one each when we watch the DVD.
Pretty please share what you do and how you 'package' it and deliver it. It's one of my favourite parts of Christmas.