Some years we do, some we don't. Some years we make a purchase like a computer etc. and call it our gift to each other. If we exchange gifts it's usually with a price limit (like $20) or something very practical that we need. This year dh is buying me a new shower head and wrapping it up - basically so the kids can see us exchanging gifts.
I also have friends that think this is weird, but we both prefer it that way. Since we share finances, an expensive surprise isn't really possible. I'm not big on gift giving in general though - people have different ways of sharing love and for me this isn't one of them. I'd rather have the gift of "time" anyday! DH and the boys sat through a concert last night with me and that is the best gift they could have given me!