I've been thinking about this too. My family is going through a major change with my grandmother's passing Thanksgiving week. Now the only family we have really is my mom, brother, and sister. Dh's family is out of the picture as well so we don't have a large extended family to do gifts. I'm thinking about redoing the way we get some things throughout the year. My mom always got us a new set of pjs for Christmas. This is a family tradition that won't change but I'm wondering if there are other things that can be replaced only at Christmas time. Most things don't get replaced every year though and that's where I've had issues. The only thing I can think of so far is to do the consumable art/craft supplies or memberships that others have suggested. The memberships aren't going to be very useful for us though because we don't live near many attractions. We wouldn't travel over an hr to aquariums or zoos and such enough to use it as a gift. Things like karate or dance classes and such don't work either since in my area they all work on a school year schedule. I'll be watching this thread and I'll post again if I come up with any ideas.
Planning ahead to next year - Xmas gifts for kids who don't really need anything - Page 2
Do they like to play dressup, or might they like it if they had some stuff? Maybe you could get some sort of trunk or vintage suitcase for them all to share and store a modest amount of dressup stuff in, then give each child a garment or a few garments - cloak, crown, scepter, pointy princess hat, glittery length of silk, length of velvet, hat, mask, glass beads, long opera gloves, stuff like that. That could let you do the individuality, in terms of which items you give to which child, but also have a common theme.
And given how much time you have, it wouldn't have to be icky polyester/acetate children's costume stuff - you could find natural fiber stuff, or maybe make it or hunt it down at vintage stores.