Lots of good suggestions already....
My kids love little stuff so it's easy here! Chap sticks/body glitter, tiny finger nail polish, little bath stuff, new fancy comb/brush, new fancy toothbrush/toothpaste(stuff I wouldn't normally buy the rest of the year) stickers, glitter putty, card games, travel games, hair bows, PVC character figurines and tiny action figures, new cd's, little picture frames with a favorite picture from throughout the year, homemade gift certificates for a favorite activity (trip to chuck e cheese, trip to zoo, trip to favorite park etc) stamps/ink pads, fancy pens, fancy crayons. Magazine subscriptions are also a favorite. most magazines have a gift card you can put in a stocking when you've ordered a subscription that says something about you're getting a whole year of fun with blank magazine.
I always go overboard on stockings, they were always my favorite part of Christmas day and I love the tiny surprises and the looks on tiny faces when they find all that silly stuff they've asked for throughout the year and I refuse to buy (impulse items at the checkout type things or the expensive silly toothbrushes that I normally refuse to pay an extra $2 for.) They love those silly tiny magazines at the checkout that have stickers/activities in them that have disney characters but to pay $2.49 for one just kills me. At christmas I indulge that and they think it's great! I usually wind up with way too much stuff and if I do then what I put in the toe of the stocking is a paper that starts a treasure hunt to find a small box with the leftover stuff in it. They LOVE that!