I would recommend books! My daughter (two in a few weeks) loves books and has since she was a baby. She has several books from different family members and we read the inscriptions from the family members before we read the story. Now, she asks for "Goodnight Moon, the one from Mommy" or "Mike Mulligan's Steam Shovel, from Grandpa Bill". If you want to do more than a book, add a toy that corresponds to the story. My daughter loves holding her plush Curious George while we read her Curious George books. If you do give books, don't forget to write inside the book, who it is for, the occasion and who it is from. It makes the books instant keepsakes.
If you don't want to go the book route, you can always get them a special toy. At one, my daughter loved Melissa and Doug's "Put and Peek Birdhouse", soft cloth birds and a birdhouse with a roof that opens and a window to peek in at the little birds. She spent tons of time putting the birds in and taking them out and playing peek-a-boo with them through the window. It was a huge hit. We really like the Melissa and Doug brand as all of their toys are well-made, non-toxic, lead free, etc.
Good luck finding the perfect gift.