I was just thinking about this a little bit this morning. My most appreciated gift for my son was a cashmere set. Not necessarily practical for everyone to be able to give, but I loved it for him. First of all, it was sized wrong. Much bigger than stated, so, it fit him during the right season (a non-mother gave it to me). He's in cloth diapers, so, I was able to lanolize the footed bottoms and he could use them during the day. We live in Chicago, so, having footed bottoms was great. Plus, the sweater added a great, warm extra layer under his coat. It was not bulky at all. And, of course, the matching hat was perfect for our winter weather. And, again, since it was not at all bulky, it could fit under his hood. Cashmere is light weight, but toasty warm. Always makes mama feel good to know her baby is warm in frigid weather.
My co-workers gave me a gift card and one of the items I purchased with it was a lambskin. Love it! I also purchased enough craft supplies to keep dd busy during the summer when I would be home with her while on maternity leave. We're still using some of those items.
Lastly, hand-me-downs have been the best. A parent from my daughter's school gave us some of her son's clothing. And, fortunately, I have a nephew and we're getting some of his clothes. And my niece got a TON of my daughter's clothing. That worked out, having opposite gendered kids for each of our pregnancies.