Fischer Price has a great Noahs' Ark set that my DS got for his baptism that he loves.
Children's Bible
Nice set of rosary beads if it's a Catholic baptism
Veggie Tales DVDs
Cross jewelry
I give cash or a savings bond for baptisms/christenings. I'm in the land of cash instead of gifts for weddings (for the most part at least) and the same goes for baptisms. Grandparents and/or Godparents might give a gift most almost everyone gives cash or a bond.