My daughter is 6 and she loves art, so her favorite things are her easel (which has a white board on one side, chalk board on the other and roll of paper to pull down), glittery markers and crayons, a sketch pad, a journal to write about her day or draw in (it's just a notebook, but she has a diary she loves too that has Tinkerbell and a matching ink pen!)
For toys, she still likes to play kitchen and we got her a new toy kitchen set-up for Christmas since her old one was falling apart. She likes the veggies that are held together with velcro that you can "chop" apart on the pretend cutting board with the plastic knife.
She also loves: her gardening gloves, sidewalk chalk, jump-rope, hopscotch, those little plastic horseshoe games, and is really getting into easy chapter books.
For Easter we gave her her own little pack of various colored nail polish that was scented (I have it in my possesion, but she knows it's "hers", some nice bows and hairbands for her hair, some manicure items like a nail scrub brush and emery boards since she wants to grow out her nails, etc. personal care items and accessories that were cute or fun- cute socks and belts, etc.
She also is starting to LOVE clothes- and wants a cute new swimsuit with one of the wraps/sarongs and some new sandals.
Just some ideas to get you going... I think shopping with her is great, but maybe you should wrap something or at least surprise her with balloons and a cake- part of the fun of birthdays/holidays is the surprise factor. I found this out at Christmas when I gave my god-daughters (6 and 7 yrs) Children's Place cards- they LOVE LOVE LOVE clothes and I thought they'd be thrilled, but they cried because they wanted me to pick something out for them that was special and because they didn't have a "real" gift to open. Next year I'll know better :(