Our 9 year old wants a hotwater bottle!!!! The best present we've bought her recently was a tent from Millets - very girly pink and she loves it. She's played with it both indoors and out and it's easy enough for her to put up herself. They also do cute lanterns, whistles etc to go with it.
I'm still holding out against MP3s, TVs etc but a CD player was a huge hit last Christmas and is used most days for listening to music or stories.
A big box of arty crafty things? A course of painting classes, ballet classes, pottery classes, pony riding etc etc insert interest here!?
Board games?