My DH is a school teacher and we have never had a holiday that was NOT budget!
First of all, I sew, so that's been a great help...a couple of years ago I bought fleece on sale (in october) and made my DH a reversable fleece vest (patterend off his old threadbare one) and it only cost me $8!
The year before that I bought a whole bunch of remnants of bright calico prints plus about 4lbs of lentils, and then I made beanbags for DS who was then 5. Let me tell you 20 beanbags can entertain a little boy for HOURS! Especially if you let him pull apart the couch to make forts and you are willing to have battles with him! And they only cost about $10 plus my time...and seriously, beanbags are about the easiest thing in the world to make!
One year I bought 2 yards of canvas and sewed roads and buildings and made a city for my DS to drive his cars all over.
One year when I was a kid my mom made us several puppets plus a little curtain on a spring-rod that we could mount in a doorway and use as a theatre.
I have found that dress up clothing is almost always a winner. I worked in costuming for a couple of years and when we had a large scrap of something i'd save it, plus I had scraps from all my own projects, so I used them to make little hats and capes and whatnot. I only have boys so no pretty princess stuff, but I did a jesters cap (out of several colors of satin leftover from formal gowns), and I made a knight's tunic with the shield emblem on the front. When DS opened that one he put it on rigth over his jammies and we had to beg him to take it off to get dressed to go to grandmas for dinner. And that tunic was made all with leftovers--didn't cost me a penny.
I am someone who hates waste and froo-froo. If it's not practical, I dont' want it. I am constantly decluttering, and I am staunchly against buying (or giving) things that are without purpose...so I don't do knick knacks or cutesy things, I do practical...last Christmas I gave my sister some cloth diapers I'd made becase I knew her stash was getting old. I make cloth drawstring giftbags (which is what my family uses) and I have given those as gifts too! A bag full of bags!! I just hit the christmas clearance sales to get the fabric cheap. I've been known to give cloth pads as gifts too...you just have to think about who your recipient is, and what kinds of things they would like (or need or use), and then figure out a way to do it cheaply!
Now, obviously I don't make everything. I do watch sales though, and I buy over the whole year, not just in the last two months (or two days!). I have gotten things on ebay, but I don't really like that...I always end up spending more than I meant to there. I like etsy, but it's not usually budget...I LOVE that it's all handmade and supporting the little guy, and there are some AWESOME things out there, but often it costs a little more. Not always, but often.
Let's see, some purchased budget things...
A mug (or a set) with cocoa mixes, or a box of tea
Tea makes awesome stocking stuffers (it's what I get DH often)
Scrapbooking supplies (stickers or pretty paper) for a scrapbooker, or beads/supplies for a jewelry maker.
Homemade jars of jam, salsa, etc
'cookies in a jar' (a mason jar with all dry ingredients + directions for adding egg/water etc) or 'soup in a jar' (same idea)
coupons to do stuff with you--date night with mom (kid gets to go to a movie with just mom) or backrub from dad. This was something we as kids often gave to our parents--backrubs, footrubs, help-with-dinner coupons, etc. It could translate into older kids--one night taking out the family car without having to refill the gas or something
The experience gifts are great--zoos, museums, etc. Annual passes or single tickets.
One thing DH and I always try to remember is that we don't have to spend the same amount on each person. Right now we have an 8yo and a 18mo...the little one will be excited about opening stuff, but we can give him socks and he'll enjoy the unwrapping as much as anything. The 8yo on the other hand is going to notice how many things he gets--not necessarily how big each one is, but how many there are in total. Actually my DH is the same way--he doesn't mean to, but he totally counts presents, and he notices if he runs out early. So even on a budget I try to get him a bunch of little stuff rather than one or two big things.