When my kids were little, they were easy to buy for. The latest toy, a game or crazy coloured shoes would do it. As they got older and developed their own sense of taste and style, it got harder to find something they would actually like rather than just graciously say "thank you" for. In our house money is generally considered lame and one of the girls doesn't think people should buy from a list, so she doesn't make one.
Here are a couple that have done the trick:
When my youngest started to listen to interesting music (alternative according to the people who invent the categories) I got her the number 1 ranking record/CD for every year of her life. Big win.
The other daughter likes books about strange things, but it is hard to know which strange is the right one: for example sparkly vampires aren't, but moody, garlic hating ones are. I took her to the bookstore and said "you can have whatever you can find that you actually want to read in 27 minutes". Declared best gift ever.

But you can only do things like this once. What would your kids get really excited about?