I get things that are small but useful or fun that DD will enjoy. Very rarely are these plastic items. The ideas below are from across the years, not any 1 year, and some can be for any age while some suit particular ages better.
I do the "something you want, something you need, something to eat and something to read" general approach to her stocking.
So there will always be something useful like nice underwear/socks, hair bobbins, toiletries, or stationary.
There will always be some perfect pieces of fruit, and a treat (chocolate or sweets, festive mini box of biscuits, jar of Nutella with her name on etc).
There will always be a book - always a fiction book to read, and I try to get something that will entice her to read and is a bit different; but as she has gotten older, there is often a non-fiction book there too like a kids guide to camping, an improving skills book for sailing, different songs for guitar (not just her lessons), last year it was an interesting book about the weather written by a meteorologist for DCs....
And then the fun can be completely frivolous or it can be fun but educational/making you think type stuff at the same time.
The National Art Gallery and National Museum are both near my office (Ireland) and have gift shops with interesting things. Like a very long writing pencil that bends, or pencils with 4 colours mixed in the lead, or a one foot long rubber. And little craft things, or interesting things from history like little Vikings and puppets.....
Stationary is usually a big hit - she gets through a lot of paperclips now that she's older so a few interesting shaped ones or a box of coloured ones is appreciated. Rubber bands. Coloured push pins (last year, I found a small pack of 12 "Where's Wally" pins) for her notice board.
As well as nice pens and highlighters.
Or when she was younger, good colouring pencils or twistables. Or a good sketch notebook of her own.
Nice toiletries - she gets a Lush festive bath bomb for Christmas Eve, but she especially likes nice travel sized things (between travel to family and for sporting events, she does a fair bit). But a nice shower gel or a new facecloth is always welcome.
I usually will get something useful like socks or knickers etc, but they will be good sets and often a bit more funky patterns than I would buy everyday. Or things for dealing with long hair - when younger, bobbins and clips with decoration on them; nowadays just plain bobbins but heat-sealed rather than using a metal join, in colours to suit her clothes to allow her to coordinate. One year, there was a second "tangle teaser" brush, so that she could keep one in her washbag (after we forgot it more than once).
The past few years, as well as a book (there is ALWAYS a book), I have got a magazine that might interest her but is a bit more in depth than the soccer mags she buys herself. Sailing, cycling, National Geographic Kids, science ones, current affairs for kids etc.
DD wasn't a big fan of them herself, but I know lots of other DCs have loved Storycubes - there are different packs and they allow all sorts of creativity.
A new bath toy was something there most years for a long time - as they were well used. A new duck, or a squirty whale, or a boat. I'd find these in airports, or places like JoJoMamanBebe - and just because they were aimed at younger DC didn't mean that DD didn't very much enjoy and appreciate them. And get a lot of use out of them even if they were plastic.
DH got her a new purse this year, which was made from an old wetsuit (an upcycling company) that she loves. And she has got reusable water bottles and cups before too that have gone down well.
Science things like a slinky, measuring tape, "grow your own crystals" kit, bug exploration kits, binoculars, compass, a mini kite and a mini parachute, a wooden "cube-bot" ….things to help her explore the outside world and how things work. (One that was plastic but interesting was a small skeleton model to build). I've also got her a squeezy ball which was a globe - we use squeezy balls and fidget pencils in our house.
When she was quite young, she got a proper kid-sized but decent and functional trowel and hand fork for gardening that were well used for quite a few years. (Lots of the kids versions are plastic and only for play).
And another time there was an apron and some cookie cutters for baking with me (both still in use!).
Real useful items that are kid sized or funky colours to excite them can be great - so a coloured set of measuring spoons that are just for them, or their very own wooden spoon, can be a way to entice them into the kitchen and get helping and learning. Or small sized but real tools like a screwdriver or hammer - just teach them how to use them safely and get them involved. Or a real brush and spoon (rather than a plastic toy hoover) to let them help with sweeping up.
More recently, a few small but decent items for camping and Scouting, like carabiners and a decent knife/fork/spoon set.
And for other hobbies like a handful of guitar plectrums, a decent glove for hockey, or funky fun long socks for sports, that sort of thing.
I also scour charity shops like the RNLI as sometimes you can find interesting things there - I got her a tiny bear wearing a lifejacket a few years ago (she's been sailing for quite a few years!), and last year a set of the rechargeable handwarmers in the shape of lifeboatmen wellies.
I also got new clothes for some of her dolls some years - some bought and some I made myself. And little DD-sized tote bags to carry her things around (I sewed these from small bits of fabric I had spare).
Wooden food, or food that is sewn from felt, can be great for creative play for little DCs in their kitchens.