I always try and do a Christmas/Winter theme to stockings - winter gives you a wider choice of things 
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I try to get things related to penguins, reindeer, polar bears, robins, stars, snow and ice, snowmen, ski-ing and general winter sports, The North Pole - but also the South Pole cranberries, satsumas, pine trees, holly, ivy and mistletoe elves, as well as Father Christmas.
Things that have gone down well in the past have been satsuma bubble bath from the body shop, white chocolate hot chocolate, cookie cutters shaped like christmas trees and reindeer, cuddly toy animals - a polar bear and a robin, a penguin hot water bottle, christmas craft sets and colouring or activity books (we had some stained glass colouring books which were tiny, but excellent), tubes of glitter in Christmassy colours - red, green, gold and silver, a CD of Christmas songs, Christmas or winter sports themed lego, playmobil and sylvanian families, jigsaws (though it is very hard to find Christmassy jigsaws between 100 and 1000 pieces). Lego usually do little baubles filled with just one colour of bricks as a stocking filler. The gold one is good, gold bricks being suitably novel.
I remember DD being highly delighted with a packet of holly patterned tissues once too 
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I always try and include a Christmassy book, again, it's getting harder as DC get older, there are loads of picture books, but fewer books for older children. This year I am considering The Box of Delights or The Lion The Witch and The Wardrobe for my 8 year old, I wanted to get The Story of Holly and Ivy by Rumer Godden, but it seems to be out of print.