If he's an infant, what about some board books. We got several ones, like Noah's Ark, Easter Story, etc. that were nice to have. We got lots little figurines and stuff, too. But the books we actually used.
My Cousin has a baby blanket embroidered with gold floss that says her name and baptised on then the date. also if he's a baby have you thought of the sterling silver keepsake boxes? You can have them engraved.
I'm actually a fan of long-lasting gifts that are not age-based. One child received a hand-made wooden cross that is about 10" tall. It is very classic looking, but also plain. It is something that ds can take with him as he goes through life and will always remind him that a special adult friend made a promise to keep him in her thoughts and caring circle. A nice prayer book, "stories with God" kind of book and so forth are also very nice. I still have my baptismal prayer book.
eta: A silver cup or chalice-type cup or pewter plate with name and baptismal date could also be very sweet and personal. You could go to a trophy store and see what they might have to offer as momentos.
No sentimentality here - I say money to go into a savings account. Our DD received so much "stuff" for her baptism. The only purpose most of it serves, unfortunately, is being kept in a box of, well, baptism stuff.
We gave our nephew a pocket watch. We had it engraved with his initials and d.o.b. The idea was to start him off with a "family heirloom" and when (if) he has kids and has them baptised, he could have their name put in it as well. If he doesnt, well then, he's got a pretty cool pocket watch!
My DS got one of these for an X-mas present - very cool
on the Baptism: DS received many typical keepsakes - cool
several cool photo frames, a very cool ceramic statue light of an Angel holding a babe in a basket, a book explaining his Baptism, a neat photo album & money, also hand crocheted & knitted baby afghans (I love these)
eta: I've seen hand crocheted/knitted sweater & booties, caps (very cool) savings bonds, mini-keepsake album, handprint keepsake kit
Me & DH , adult DD & 7 yo DS . 2 GSDs, 6 rescue kitties, 4 birds & a gerbil.
I just gave my god-daughter a foot molding kit for her first birthday (I bought it at Babys R Us). I wrote a long note about her growing, learning to walk, being under the watchful eyes of God, her family and her community... I also wrote a check for $50.
I also like books as gifts for my god-children - we have a wonderful bookstore in Chicago called The Mustard Seed that has wonderful kids books.