Always depends on how much money we have. My fiancée always makes "Gifts In A Jar" which is easy and not very costly. You simply use large Mason jars and fill them with a homemade recipe, whether it be, pancakes, brownies, cookies, hot chocolate etc. Last year she made hot chocolate in a powder mix and holy crap was it amazing. I've literally tried over 100 different types of hot chocolate from different countries and nothing compared to how good hers tasted.
This year she had a few ideas to spruce it up a little. Whatever she decides to make, I know she wants to have an add-on gift to go with the jars, for example --- If she made pancake mix in a jar, she would decorate the jar, put ingredients and directions on it, and then the add-on gift would be, some cutesy pancake turner.
As far as what we get for each other, we try to shop small, but get things that mean something important. Or maybe buy something fun that we can do together. I know this doesn't sound like much, but last year we bought a PS3 as our gift to each other, something we both really wanted. But we would also get something really small on the side even if just stocking stuffer's etc.