We don't either. However, I learned yesterday he got me something - so now I need to go shopping for him. He didn't follow the agreement.
We don't exchange for a couple of reasons. Growing up, presents weren't a HUGE part of Christmas for either of us. Our families focused on the "family together aspect" & other festive activities. So, I guess it's just what you are used to.
Also, we are D.I.N.K.s (Dual Income No Kids) Basically, we see something or want something - we just go buy it (within reason & budget of course). When we first married & we went Christmas shopping, we ended up just seeing stuff & buying it. We already knew what we got, so we didn't bother wrapping it or putting it under the tree. LOL Our friends used to roll their eyes at us. Hey, what's the difference. We got what we wanted on Dec 1 rather than Dec 25. (Actually, the gift he got me yesterday was Tevo - something we both have been wanting. I just upgraded his cable to digital cable TV; something he had been wanting. So I think we are even.

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Some years, it's because we've done large things throughout the year; like trips. This year I got a new car in October.
Last year, we donated what would have to spent to charities of our choice. He picked 2 & I picked 2.
We also don't exchange with anyone else either. We only buy for 3 neices & nephews. Christmas is for the children. I recently heard this quote & I like it: " Besides, it's Christ's birthday, not mine or yours. "
